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

Mathematical Finance

Volumn 12, Issue 1, 2002, Pages 45-61

  Delbaen, Freddy ^a   Kabanov, Yuri M ^b   Valkeila, Esko ^c  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITÉ DE FRANCHE COMTÉ   (France)

^c UNIVERSITY OF HELSINKI   (Finland)

Author keywords

Contingent claim; Currency market; Hedging; Polyhedral cones; Transaction cost

Indexed keywords

EID: 0036379633     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00003     Document Type: Article

References (27)

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