On the Limit Behavior of Option Hedging Sets under Transaction Costs

J Grépat

Chapter 4 in Recent Advances in Financial Engineering 2012:Proceedings of the International Workshop on Finance 2012, 2014, pp 75-91 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this note we link the Kusuoka limit theorem on super replication of European contingent claim under transaction costs with the multi-asset mainstream and we study the asymptotic behavior of the hedging sets in the context of topological convergence of subsets of ℝ2.

Keywords: Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance (search for similar items in EconPapers)
Date: 2014
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