Hedging American contingent claims with constrained portfolios under proportional transaction costs

摘要

In a general continuous-time market model with constrained portfolios under proportional transaction costs, we derive the upper and lower hedging prices of American contingent claims. Furthermore we have that [h(]ow) (K), h(up) (K)] is an arbitrage-free interval. (C) 2004 Elsevier Ltd. All rights reserved.