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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 217–223
(Mi tm333)
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This article is cited in 1 scientific paper (total in 1 paper)
Hedging in a Model with Transaction Costs
Yu. M. Kabanovab, G. Lastc a Central Economics and Mathematics Institute, RAS
b Laboratoire de Mathématiques, Université de Franche-Comté
c Institut für Mathematische Stochastik, Universität Karlsruhe
Abstract:
We consider a general semimartingale model of a currency market with
proportional transaction costs. Assuming that the price process is
continuous and bounded, we prove a hedging theorem describing the set of
initial endowments allowing one to superreplicate a contingent claim in
various currencies by a self-financing portfolio.
Received in April 2001
Citation:
Yu. M. Kabanov, G. Last, “Hedging in a Model with Transaction Costs”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 217–223; Proc. Steklov Inst. Math., 237 (2002), 208–214
Linking options:
https://www.mathnet.ru/eng/tm333 https://www.mathnet.ru/eng/tm/v237/p217
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Abstract page: | 342 | Full-text PDF : | 219 | References: | 54 |
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