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Hedging of Contingent Claims under Transaction Costs · Study

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ChapterHedging of Contingent Claims under Transaction Costs

Yuri Kabanov2002

Chapter2002

Hedging of Contingent Claims under Transaction Costs

Yuri Kabanov · Christophe Stricker

47 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 1999Hedging and liquidation under transaction costs in currency markets

Cited by

2010Multivariate utility maximization with proportional transaction costs 2019Representation of Martingales with Jumps and Applications to Mathematical Finance 2004A geometric approach to portfolio optimization in models with transaction costs 2008Hedging of American options under transaction costs 2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs

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2002Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Modelarticle · 11 shared references 2007General Arbitrage Pricing Model: II – Transaction Costschapter · 9 shared references 2006A super-replication theorem in Kabanov’s model of transaction costsarticle · 8 shared references 2002Optimal investment with transaction costs and without semimartingalesarticle · 8 shared references 2008Consistent price systems and face-lifting pricing under transaction costsarticle · 7 shared references 2002Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Modelarticle · 7 shared references

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Year2002

Typechapter

Published2002-01-01

VenueSpringer eBooks

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-04790-3_7

openalex_workW106784239

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2017Optimal consumption under habit formation in markets with transaction costs and random endowments

2014Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment