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

Freddy Delbaen, Yuri M. Kabanov and Esko Valkeila
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Mathematical Finance, 2002, vol. 12, issue 1, 45-61

Abstract: We consider a discrete‐time model of a currency market with transaction costs and give a description of initial endowments that allow the investor to hedge a contingent claim in various currencies by a self‐financing portfolio.

Date: 2002
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