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

Chassagneux, Jean-Francois; Bouchard, Bruno

Electronic Journal of Probability [electronic only] (2009)

- Volume: 14, page 612-632
- ISSN: 1083-589X

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topChassagneux, 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 -

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