Geodesic
Hedging in a~Model with Transaction Costs
Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 217-223

Voir la notice de l'article provenant de la source Math-Net.Ru

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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     year = {2002},
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     url = {http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a11/}
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Yu. M. Kabanov; G. Last. Hedging in a~Model with Transaction Costs. Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 217-223. http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a11/