Bentahar, Imen; Bouchard, Bruno - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
We consider a continuous time multivariate financial market with proportionaltransaction costs and study the problem of finding the minimal initialcapital needed to hedge, without risk, European-type contingent claims. Themodel is similar to the one considered in Bouchard and Touzi (2000)...