Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
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Publication:4548069
DOI10.1111/1467-9965.00003zbMATH Open1008.91046OpenAlexW2042142447MaRDI QIDQ4548069FDOQ4548069
Authors: Freddy Delbaen, Esko Valkeila, Yuri Kabanov 
Publication date: 6 April 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00003
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Cites Work
- On the possibility of hedging options in the presence of transaction costs
- A closed-form solution to the problem of super-replication under transaction costs
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Martingales and arbitage in securities markets with transaction costs
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- Hedging and liquidation under transaction costs in currency markets
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
Cited In (19)
- Title not available (Why is that?)
- Hedging in discrete time under transaction costs and continuous-time limit
- American and Bermudan options in currency markets with proportional transaction costs
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
- A super-replication theorem in Kabanov's model of transaction costs
- Title not available (Why is that?)
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- No arbitrage and closure results for trading cones with transaction costs
- Von Neumann–Gale model, market frictions and capital growth
- Hedging under an expected loss constraint with small transaction costs
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- CALIBRATED OPTION BOUNDS
- Hedging of the European option in discrete time under transaction costs depending on time
- Title not available (Why is that?)
- Hedging in the CRR model under concave transaction costs
- Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
- Pricing issues with investment flows. Applications to market models with frictions
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