Hedging and liquidation under transaction costs in currency markets
We consider a general semimartingale model of a currency market with transaction costs and give a description of the initial endowments which allow to hedge a contingent claim in various currencies by a self-financing portfolio. As an application we obtain a result on the structure of optimal strategies for the problem of maximizing expected utility from terminal wealth.
Volume (Year): 3 (1999)
Issue (Month): 2 ()
|Note:||received: December 1996; final version received: June 1998|
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