We study the problem of finding the minimal price needed to dominate European-type contingent claims under proportional transaction costs in a continuous-time diffusion model. The result we prove has already been known in special cases - the minimal super-replicating strategy is the least...

In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\sup_{\nu\in\D} \inf_{\pi(\cdot)\in\A(x)}{\bf E}_\nu\left(\frac{C-X^{x, \pi}(T)}{S_0(T)}\right)^+, \] for the risk associated with hedging a given liability C at time t = T. Here x is the initial...

This paper solves the following problem of mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dual...