On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs

DOI10.1007/s00780-020-00441-4zbMath1471.91569OpenAlexW3113831621MaRDI QIDQ2022760

Julien Grépat, Youri M.Kabanov

Publication date: 29 April 2021

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

Full work available at URL: https://doi.org/10.1007/s00780-020-00441-4

zbMATH Keywords

hedgingsuperreplicationtransaction costsmultinomial approximationKusuoka theorem

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Set-valued risk measures as backward stochastic difference inclusions and equations

Cites Work

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• The scaling limit of superreplication prices with small transaction costs in the multivariate case
• Markets with transaction costs. Mathematical theory.
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• Limit theorem on option replication cost with transaction costs
• When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
• On the Limit Behavior of Option Hedging Sets under Transaction Costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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