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

DOI10.1007/s00780-016-0320-4zbMath1378.91132arXiv1510.04537MaRDI QIDQ522060

Yan Dolinsky, Ari-Pekka Perkkiö, Peter Bank

Publication date: 13 April 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.04537

zbMATH Keywords

convolution; Lie groups; probability measure

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

60F17: Functional limit theorems; invariance principles

91G10: Portfolio theory

91G99: Actuarial science and mathematical finance

Related Items

Super-replication with fixed transaction costs, On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs, Option replication with transaction cost under Knightian uncertainty, Scaling limits for super-replication with transient price impact, Market delay and \(G\)-expectations

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