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- Title
HEDGING UNDER TRANSACTION COSTS IN CURRENCY MARKETS: A CONTINUOUS-TIME MODEL.
- Authors
Kabanov, Yuri M.; Last, Günter
- Abstract
We consider a general semimartingale model of a currency market with transaction costs. Assuming that the price process is continuous and the solvency cone is proper we prove a hedging theorem describing the set of initial endowments that allows the investor to hedge a contingent claim in various currencies by a self-financing portfolio.
- Subjects
HEDGING (Finance); BREAK-even analysis; FOREIGN exchange; INVESTORS; TRANSACTION costs; EDUCATION policy; MATHEMATICAL models; CHARITABLE uses, trusts, &; foundations; BUSINESS finance
- Publication
Mathematical Finance, 2002, Vol 12, Issue 1, p63
- ISSN
0960-1627
- Publication type
Article
- DOI
10.1111/1467-9965.00004