Geodesic
Hedging in a~Model with Transaction Costs
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 217-223

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We consider a general semimartingale model of a currency market with proportional transaction costs. Assuming that the price process is continuous and bounded, we prove a hedging theorem describing the set of initial endowments allowing one to superreplicate a contingent claim in various currencies by a self-financing portfolio. 
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     author = {Yu. M. Kabanov and G. Last},
     title = {Hedging in {a~Model} with {Transaction} {Costs}},
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Yu. M. Kabanov; G. Last. Hedging in a~Model with Transaction Costs. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 217-223. http://geodesic.mathdoc.fr/item/TM_2002_237_a11/