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JOURNALS // Trudy Matematicheskogo Instituta imeni V.A. Steklova // Archive

Trudy Mat. Inst. Steklova, 2002 Volume 237, Pages 217–223 (Mi tm333)

This article is cited in 1 paper

Hedging in a Model with Transaction Costs

Yu. M. Kabanovab, G. Lastc

a Central Economics and Mathematics Institute, RAS
b Laboratoire de Mathématiques, Université de Franche-Comté
c Institut für Mathematische Stochastik, Universität Karlsruhe

Abstract: We consider a general semimartingale model of a currency market with proportional transaction costs. Assuming that the price process is continuous and bounded, we prove a hedging theorem describing the set of initial endowments allowing one to superreplicate a contingent claim in various currencies by a self-financing portfolio.

UDC: 519.2+519.8

Received in April 2001

Language: English


 English version:
Proceedings of the Steklov Institute of Mathematics, 2002, 237, 208–214

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