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Hedging of Contingent Claims under Transaction Costs

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Advances in Finance and Stochastics

Summary

We consider a general framework covering models of financial markets with transaction costs. Assuming that the solvency cones are proper and evolve in time continuously we prove a hedging theorem describing the set of initial endowments allowing to hedge a vector-valued contingent claim by a self-financing portfolio.

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Author information

Authors and Affiliations

  1. Laboratoire de Mathématiques, Université de Franche-Comté, Besançon, France

    Yuri M. Kabanov & Christophe Stricker

  2. Central Economics and Mathematics Institute of the Russian Academy of Sciences, Moscow, Russia

    Yuri M. Kabanov

Authors
  1. Yuri M. Kabanov
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  2. Christophe Stricker
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Editor information

Editors and Affiliations

  1. Lehrstuhl für Bankbetriebslehre, Johannes Gutenberg-Universität Mainz, Jakob Welder-Weg 9, 55128, Mainz, Germany

    Klaus Sandmann

  2. Inst. f. Gesellschafts- u. Wirtschaftswissenschaften Statistische Abteilung, Rheinische Friedrich-Wilhelms-Universität Bonn, Adenauerallee 24-42, 53113, Bonn, Germany

    Philipp J. Schönbucher

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© 2002 Springer-Verlag Berlin Heidelberg

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Kabanov, Y.M., Stricker, C. (2002). Hedging of Contingent Claims under Transaction Costs. In: Sandmann, K., Schönbucher, P.J. (eds) Advances in Finance and Stochastics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04790-3_7

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  • DOI: https://doi.org/10.1007/978-3-662-04790-3_7

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-07792-0

  • Online ISBN: 978-3-662-04790-3

  • eBook Packages: Springer Book Archive

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