Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
type: Item
instance of: scholarly article
title: Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
zbMATH Open document ID: 1008.91046
DOI: 10.1111/1467-9965.00003
author: Freddy Delbaen
author: Esko Valkeila
author: Yuri Kabanov
published in: Mathematical Finance
publication date: 2003-04-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 1786778
zbMATH Keywords: currency market
zbMATH Keywords: contingent claim
zbMATH Keywords: transaction cost
zbMATH Keywords: hedging
zbMATH Keywords: polyhedral cones
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1111/1467-9965.00003
OpenAlex ID: W2042142447
cites work: HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
cites work: A closed-form solution to the problem of super-replication under transaction costs
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cites work: Martingales and arbitage in securities markets with transaction costs
cites work: Hedging and liquidation under transaction costs in currency markets
cites work: Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
cites work: The Harrison-Pliska arbitrage pricing theorem under transaction costs
cites work: On the possibility of hedging options in the presence of transaction costs
cites work: A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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description: scientific article; zbMATH DE number 1786778