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Can I read On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs on EtoBox?
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs by Julien Grépat; Yuri Kabanov is a Economics, Econometrics and Finance article available to read on EtoBox.
What is On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs about?
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 all vectorvalued initial endowments permitting to superreplicate the contingent claim by the final position of a self-financing portfolio. We calculate the limit of the hedging sets in the closed topology, obtaining in this way a set-valued version of the Kusuoka limit theorem.
Who reads On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Julien Grépat; Yuri Kabanov
- Publisher
- Springer Science and Business Media LLC
- Published
- 2020
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)