Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model

DOI10.1111/1467-9965.00003zbMath1008.91046OpenAlexW2042142447MaRDI QIDQ4548069

Esko Valkeila, Freddy Delbaen, Youri M.Kabanov

Publication date: 6 April 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00003

zbMATH Keywords

hedgingtransaction costpolyhedral conescontingent claimcurrency market

Mathematics Subject Classification ID

Related Items (13)

American and Bermudan options in currency markets with proportional transaction costs ⋮ Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ A super-replication theorem in Kabanov's model of transaction costs ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ The Harrison-Pliska arbitrage pricing theorem under transaction costs ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ CALIBRATED OPTION BOUNDS ⋮ No arbitrage and closure results for trading cones with transaction costs ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

Cites Work

• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A closed-form solution to the problem of super-replication under transaction costs
• Hedging and liquidation under transaction costs in currency markets
• On the possibility of hedging options in the presence of transaction costs
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Martingales and arbitage in securities markets with transaction costs
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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