Hedging and liquidation under transaction costs in currency markets
- Cite this article as:
- Kabanov, Y. Finance Stochast (1999) 3: 237. doi:10.1007/s007800050061
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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.