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On the Limit Behavior of Option Hedging Sets under Transaction Costs

In: 2012 Recent Advances in Financial Engineering Proceedings of the International Workshop on Finance 2012

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  • J Grépat

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.

Suggested Citation

  • J Grépat, 2014. "On the Limit Behavior of Option Hedging Sets under Transaction Costs," World Scientific Book Chapters, in: Akihiko Takahashi & Yukio Muromachi & Takashi Shibata (ed.), 2012 Recent Advances in Financial Engineering Proceedings of the International Workshop on Finance 2012, chapter 4, pages 75-91, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814571647_0004
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