Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
type: Item
instance of: scholarly article
title: Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
zbMATH Open document ID: 1008.91049
DOI: 10.1111/1467-9965.00004
published in: Mathematical Finance
publication date: 2003-04-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 1786779
zbMATH Keywords: currency market
zbMATH Keywords: semimartingale price process
zbMATH Keywords: contingent claim
zbMATH Keywords: transaction cost
zbMATH Keywords: hedging
zbMATH Keywords: polyhedral cone
zbMATH Keywords: Komlós theorem
zbMATH Keywords: Fatou convergence
author: Yuri Kabanov
author: Günter Last
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1111/1467-9965.00004
OpenAlex ID: W3125246659
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cites work: On the possibility of hedging options in the presence of transaction costs
cites work: Super-replication under proportional transaction costs: From discrete to continuous-time models
description: scientific article; zbMATH DE number 1786779