Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model (Q4548069): Difference between revisions

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-Youri M.Kabanov
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+Youri M.Kabanov
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+MaRDI publication profile
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+https://doi.org/10.1111/1467-9965.00003
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+W2042142447
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@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+A closed-form solution to the problem of super-replication under transaction costs
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+Equivalent martingale measures and no-arbitrage in stochastic securities market models
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+REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+Local martingales and the fundamental asset pricing theorems in the discrete-time case
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+Martingales and arbitage in securities markets with transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
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+The Harrison-Pliska arbitrage pricing theorem under transaction costs
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+On the possibility of hedging options in the presence of transaction costs
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+A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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@@ links / mardi / name / links / mardi / name @@
+Publication:4548069