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 language | English |
|---|---|
| Pages (from-to) | 487-508 |
| Number of pages | 22 |
| Journal | Finance and Stochastics |
| Volume | 21 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1 Apr 2017 |
Keywords
- Complete model
- Limit theorems
- Superreplication
- Transaction costs
ASJC Scopus subject areas
- Statistics and Probability
- Finance
- Statistics, Probability and Uncertainty
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