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• W2952804792 abstract "Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplication prices in discrete-time models of a single risky asset which is traded at properly scaled proportional transaction costs. This article extends the result to a multi-variate setup where the investor can trade in several risky assets. The $G$-expectation describing the limiting price involves models with a volatility range around the frictionless scaling limit that depends not only on the transaction costs coefficients but also on the chosen complete discrete-time reference model." @default.
• W2952804792 created "2019-06-27" @default.
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• W2952804792 date "2015-10-15" @default.
• W2952804792 modified "2023-10-01" @default.
• W2952804792 title "The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case" @default.
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• W2952804792 hasPublicationYear "2015" @default.
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