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The authors study the problem of super - replication for game options under proportional transaction costs. They consider a multidimensional model which is an extension of the usual Black - Scholes (BS) model, in the sense that the volatility is a progressively measurable function of the stock. For this case they show that the super - replication price is the cheapest cost of a trivial super - replication strategy. This result is an extension of previous papers in which only European options with Markovian structure were considered.
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