Skip to main navigation Skip to search Skip to main content

The scaling limit of superreplication prices with small transaction costs in the multivariate case

Research output: Contribution to journal › Article › peer-review

Abstract

Kusuoka (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 multivariate 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.

Original languageEnglish
Pages (from-to)487-508
Number of pages22
JournalFinance and Stochastics
Volume21
Issue number2
DOIs
StatePublished - 1 Apr 2017

Keywords

  • Complete model
  • Limit theorems
  • Superreplication
  • Transaction costs

ASJC Scopus subject areas

  • Statistics and Probability
  • Finance
  • Statistics, Probability and Uncertainty

Fingerprint

Dive into the research topics of 'The scaling limit of superreplication prices with small transaction costs in the multivariate case'. Together they form a unique fingerprint.

Cite this