HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
Work
Year: 1996
Type: article
Abstract: We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous‐time model with proportional transaction costs; the expression obtained can be interpre... more
Source: Mathematical Finance
Authors Jakša Cvitanić, Ioannis Karatzas
Institutions Columbia University, Isaac Newton Institute for Mathematical Sciences, Australian National University
Cites: 43
Cited by: 353
Related to: 10
FWCI: 8.214
Citation percentile (by year/subfield): 98.06
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green