| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: In the present paper we consider the market model with a general continuous price process and proportional transaction costs and estimate the super-replication prices for various options. In particular we establish general conditions ensuring the absence of arbitrage and that the super-replication prices for general European options concide with those of the optimal buy-and-hold strategy. The purely probabilistic approach enables us to establish the results for a much larger class of price processes than continuous semimartingales.
Mots Clés: continuous time markets ; transaction costs ; absence of arbitrage ; option hedging
Date: 2000-07-19
Prépublication numéro: PMA-607