Name
Abstract | ||
|---|---|---|
We prove a general version of the super-replication theorem, which applies to Ka- banov's model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued cadlag bid-ask process ( t)t2(0,T) evolving in continuous time. We propose a new definition of admissible portfolio processes as predictable (not necessarily right or left continuous) processes of finite variation related to the bid-ask process by economically meaningful relations. Under the assumption of existence of a Strictly Consistent Price System (SCPS), we prove a closure property for the set of attainable vector-valued contingent claims. We then obtain the super-replication theorem as a consequence of that property, thus generalizing to possibly discontinuous bid-ask processes analogous results obtained by Kabanov (11), Kabanov and Last (12) and Kabanov and Stricker (15). Rasonyi's counter-example (16) served as an important motivation for our approach. |
Year | DOI | Venue |
|---|---|---|
2006 | 10.1007/s00780-006-0022-4 | Finance and Stochastics |
Keywords | Field | DocType |
foreign exchange market,transaction cost | Financial economics,Mathematical economics,Transaction cost,Price system,Generalization,Portfolio,Mathematics,Foreign exchange | Journal |
Volume | Issue | ISSN |
10 | 4 | 1432-1122 |
Citations | PageRank | References |
11 | 1.32 | 3 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Luciano Campi | 1 | 28 | 7.38 |
| Walter Schachermayer | 2 | 46 | 17.22 |