Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
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Publication:4548069
DOI10.1111/1467-9965.00003zbMath1008.91046MaRDI QIDQ4548069
Esko Valkeila, Freddy Delbaen, Youri M.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
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model, CALIBRATED OPTION BOUNDS, The Harrison-Pliska arbitrage pricing theorem under transaction costs, Pricing issues with investment flows. Applications to market models with frictions, A super-replication theorem in Kabanov's model of transaction costs, Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization, No arbitrage and closure results for trading cones with transaction costs
Cites Work
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- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
