On the Limit Behavior of Option Hedging Sets under Transaction Costs

DOI10.1142/9789814571647_0004zbMath1318.91183OpenAlexW2317686783MaRDI QIDQ5256600

Julien Grépat

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814571647_0004

zbMATH Keywords

European optionproportional transaction costsconvergence of initial endowmentsKusuoka limit theoremmulti-asset marketsuper replication

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)

Related Items (2)

The scaling limit of superreplication prices with small transaction costs in the multivariate case ⋮ On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs

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