General financial market model defined by a liquidation value process
General financial market model defined by a liquidation value process
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DOI：
10.1080/17442508.2015.1086348
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发表时间：
2014-05
期刊：
影响因子：
--
通讯作者：
E. Lépinette;T. Tran
中科院分区：
文献类型：
--
作者：
E. Lépinette;T. Tran
Financial market models defined by a liquidation value process generalize the conic models of Schachermayer and Kabanov where the transaction costs are proportional to the exchanged volumes of traded assets. The solvency set of all portfolio positions that can be liquidated without any debt is not necessary convex, e.g. in presence of proportional transaction costs and fixed costs. Therefore, the classical duality principle based on the Hahn–Banach separation theorem is not appropriate to characterize the prices super hedging a contingent claim. Using an alternative method based on the concepts of essential supremum and maximum, we provide a characterization of European and American contingent claim prices under the absence of arbitrage opportunity of the second kind.
