On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costsстатья
Статья опубликована в высокорейтинговом журнале
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Дата последнего поиска статьи во внешних источниках: 12 января 2022 г.
Аннотация:We consider, using the geometric description, a sequence of models of multi-asset financial markets with proportional transaction costs vanishing in the limit. We assume that the price processes are He-type multinomial approximations of a process whose components are correlated geometric Brownian motions. For a given vector-valued contingent claim, defined as a continuous function of the price trajectories, we consider, for each model, the hedging set, that is the set of the vector-valued initial endowments permitting to superreplicate the contingent claim by the terminal value of a self-financing portfolio. We calculate the limit of hedging sets in the closed topology, obtaining in this way a set-valued version of the Kusuoka limit theorem.