Hedging and liquidation under transaction costs in currency markets |
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Authors: | Y.M. Kabanov |
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Affiliation: | Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, F-25030 Besan?on Cedex, France, FR
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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. Manuscript received: December 1996; final version received: June 1998 |
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Keywords: | : Currency market contingent claim transaction cost hedging JEL classification: G13 G11 Mathematics Subject Classification (1991): 60G44 |
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