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

DOI10.1111/1467-9965.00004zbMath1008.91049OpenAlexW3125246659MaRDI QIDQ4548070

Youri M.Kabanov, Günter Last

Publication date: 6 April 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00004

zbMATH Keywords

hedgingKomlós theorempolyhedral conetransaction costFatou convergencecontingent claimcurrency marketsemimartingale price process

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (26)

Optimal investment with transaction costs and without semimartingales ⋮ Dual formulation of the utility maximization problem under transaction costs ⋮ General indifference pricing with small transaction costs ⋮ Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Arbitrage theory for non convex financial market models ⋮ A super-replication theorem in Kabanov's model of transaction costs ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Neural network approximation for superhedging prices ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ On the density of properly maximal claims in financial markets with transaction costs ⋮ Multivariate utility maximization with proportional transaction costs ⋮ The fundamental theorem of asset pricing for continuous processes under small transaction costs ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Asymptotic arbitrage with small transaction costs ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS ⋮ The Harrison-Pliska arbitrage pricing theorem under transaction costs ⋮ Hedging of American options under transaction costs ⋮ General financial market model defined by a liquidation value process ⋮ Two-agent Pareto optimal cooperative investment in general semimartingale model ⋮ Asset price bubbles in markets with transaction costs ⋮ A note on utility-based pricing in models with transaction costs ⋮ A dynamic version of the super-replication theorem under proportional transaction costs

Cites Work

• Unnamed Item
• A closed-form solution to the problem of super-replication under transaction costs
• Hedging and liquidation under transaction costs in currency markets
• A general version of the fundamental theorem of asset pricing
• On the possibility of hedging options in the presence of transaction costs
• Optional decompositions under constraints
• Super-replication under proportional transaction costs: From discrete to continuous-time models
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model

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