Abstract
The hedging theorem of [3] describes the initial endowments necessary for the super-replication of a given contingent claim in a model with transaction costs, assuming the continuity of the price process. We demonstrate that this theorem may fail if the price process is discontinuous.
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© 2003 Springer-Verlag Berlin Heidelberg
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Rásonyi, M. (2003). A remark on the superhedging theorem under transaction costs. In: Azéma, J., Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXVII. Lecture Notes in Mathematics, vol 1832. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-40004-2_17
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DOI: https://doi.org/10.1007/978-3-540-40004-2_17
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-20520-3
Online ISBN: 978-3-540-40004-2
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