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A super-replication theorem in Kabanov’s model of transaction costs

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  • Luciano Campi
  • Walter Schachermayer

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:579-596
    DOI: 10.1007/s00780-006-0022-4
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    References listed on IDEAS

    as
    1. Yuri M. Kabanov & Günter Last, 2002. "Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 63-70, January.
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    More about this item

    Keywords

    Proportional transaction costs; Foreign exchange markets; Efficient friction; Super-replication theorem; Primary 91B28; Secondary 60H30; Secondary 60G44; G10; G11; G13;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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