Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 12 (2002)
Issue (Month): 1 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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- Emmanuel Denis & Yuri Kabanov, 2012.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Finance and Stochastics,
Springer, vol. 16(1), pages 135-154, January.
- Lépinette-Denis, Emmanuel & Kabanov, Yuri, 2012. "Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs," Economics Papers from University Paris Dauphine 123456789/4652, Paris Dauphine University.
- Kabanov, Yuri & Lépinette-Denis, Emmanuel, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Economics Papers from University Paris Dauphine 123456789/9714, Paris Dauphine University.
- Irene Klein & Emmanuel Lepinette & Lavinia Ostafe, 2012. "Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs," Papers 1211.0443, arXiv.org.
- Luciano Campi & Mark Owen, 2011. "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, vol. 15(3), pages 461-499, September.
- Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 579-596, December.
- Luciano Campi & Mark P. Owen, 2008. "Multivariate utility maximization with proportional transaction costs," Papers 0811.3889, arXiv.org, revised Apr 2009.
- Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
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