Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs.

Chassagneux, Jean-Francois, and Bouchard, Bruno. "Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs.." Electronic Journal of Probability [electronic only] 14 (2009): 612-632. <http://eudml.org/doc/222947>.

@article{Chassagneux2009,
author = {Chassagneux, Jean-Francois, Bouchard, Bruno},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {randomized stopping times; American options; transaction costs},
language = {eng},
pages = {612-632},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs.},
url = {http://eudml.org/doc/222947},
volume = {14},
year = {2009},
}

TY - JOUR
AU - Chassagneux, Jean-Francois
AU - Bouchard, Bruno
TI - Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs.
JO - Electronic Journal of Probability [electronic only]
PY - 2009
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 14
SP - 612
EP - 632
LA - eng
KW - randomized stopping times; American options; transaction costs
UR - http://eudml.org/doc/222947
ER -