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-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.
Bibliographical noteFunding Information:
The authors are grateful to the Einstein Foundation for the financial support through its research project on “Game options and markets with frictions”.
© 2016, Springer-Verlag Berlin Heidelberg.
- Complete model
- Limit theorems
- Transaction costs