Hedging and liquidation under transaction costs in currency markets
摘要：
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.
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DOI：
10.1007/s007800050061
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年份：
1999
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2011
被引量：44
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