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

Peter Bank (), Yan Dolinsky () and Ari-Pekka Perkkiö ()
Additional contact information
Peter Bank: TU Berlin
Yan Dolinsky: Hebrew University
Ari-Pekka Perkkiö: TU Berlin

Finance and Stochastics, 2017, vol. 21, issue 2, No 6, 487-508

Abstract: 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 $G$ -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.

Keywords: Superreplication; Transaction costs; Complete model; Limit theorems; 91G10; 91G20; 60F05; 60H30 (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s00780-016-0320-4

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