Hedging under transaction costs in currency markets: A continuous-time model

Mathematical Finance

Volumn 12, Issue 1, 2002, Pages 63-70

  Kabanov, Yuri M ^a   Last, Günter ^b  

^a UNIVERSITÉ DE FRANCHE COMTÉ   (France)

^b UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Contingent claim; Currency market; Fatou convergence; Hedging; Koml s theorem; Polyhedral cone; Semimartingale price process; Transaction cost

Indexed keywords

EID: 0036002686     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00004     Document Type: Article

References (14)

1. Option pricing by large risk aversion utility under transaction costs
2. Hedging and portfolio optimization under transaction costs: A martingale approach
3. A closed form solution to the problem of super-replication under transaction costs
4. Hedging under transaction costs in currency markets: A discrete-time model
5. A general version of the fundamental theorem of asset pricing
6. Optional decompositions under constraints
7. Hedging and liquidation under transaction costs in currency markets
8. Hedging in a model with transaction costs
9. On the possibility of hedging options in the presence of transaction costs
10. There is no nontrivial hedging portfolio for option pricing with transaction costs
11. Super-replication under proportinal transaction costs: From discrete to continuous-time models