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 this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

We consider a multivariate financial market with transaction costs as in Kabanov. We study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. We prove that the value of this stochastic control problem is given by the cost of the...

An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...

We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our results generalize, when the probability space is finite, those obtained by Kabanov et al. [Kabanov, Y., Stricker, C., 2001. The Harrison-Pliska arbitrage pricing theorem under transaction costs....