Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model

DOI10.1111/1467-9965.00003MaRDI QIDQ4548069zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

hedgingtransaction costpolyhedral conescontingent claimcurrency market

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A closed-form solution to the problem of super-replication under transaction costs
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Hedging and liquidation under transaction costs in currency markets
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Martingales and arbitage in securities markets with transaction costs
• On the possibility of hedging options in the presence of transaction costs
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

Cited in

(19)

• scientific article; zbMATH DE number 1897418 (Why is no real title available?)
• Hedging in discrete time under transaction costs and continuous-time limit
• American and Bermudan options in currency markets with proportional transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• scientific article; zbMATH DE number 2014387 (Why is no real title available?)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
• 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
• scientific article; zbMATH DE number 1867099 (Why is no real title available?)
• 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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