Pham, HuyËn; Touzi, Nizar; Cvitanic, Jaksa - In: Finance and Stochastics 3 (1999) 1, pp. 35-54
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...