Electronic Resource
Oxford UK
:
Blackwell Science Ltd.
Mathematical finance
12 (2002), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
We consider a general semimartingale model of a currency market with transaction costs. Assuming that the price process is continuous and the solvency cone is proper we prove a hedging theorem describing the set of initial endowments that allows the investor to hedge a contingent claim in various currencies by a self-financing portfolio.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.00004
Permalink
|
Location |
Call Number |
Expected |
Availability |