Hedging and liquidation under transaction costs in currency markets

Y.M. Kabanov
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Y.M. Kabanov: Laboratoire de MathÊmatiques, UniversitÊ de Franche-ComtÊ, 16 Route de Gray, F-25030 BesanÚon Cedex, France
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Finance and Stochastics, 1999, vol. 3, issue 2, 237-248

Abstract: We consider a general semimartingale model of a currency market with transaction costs and give a description of the initial endowments which allow to hedge a contingent claim in various currencies by a self-financing portfolio. As an application we obtain a result on the structure of optimal strategies for the problem of maximizing expected utility from terminal wealth.

Keywords: Currency market; contingent claim; transaction cost; hedging (search for similar items in EconPapers)
Date: 1999-01-29
Note: received: December 1996; final version received: June 1998
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Citations: View citations in EconPapers (130)

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