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Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model[Note 1. Research was partially supported by the INTAS‐RFBR Grant 95‐0061 ...]
Author(s) -
DELBAEN FREDDY,
KABANOV YURI M.,
VALKEILA ESKO
Publication year - 2002
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/1467-9965.00003
Subject(s) - hedge , transaction cost , currency , portfolio , economics , discrete time and continuous time , financial economics , monetary economics , econometrics , microeconomics , ecology , statistics , mathematics , biology
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.
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