J. Grépat, Yuri Kabanov, “On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs”, Finance Stoch., 2021, Volume 25, Issue 1,Pages <nobr>167–187</nobr>

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Finance Stoch., 2021, Volume 25, Issue 1, Pages 167–187 (Mi finst1)

This article is cited in 2 papers

On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs

J. Grépat^a, Yuri Kabanov^bc

^a Laboratoire de Mathématiques, Université Bourgogne Franche-Comté, Besançon, France
^b Lomonosov Moscow State University, Moscow, Russia
^c Steklov Mathematical Institute of the Russian Academy of Sciences, Moscow, Russia

Received: 31.07.2019
Accepted: 26.08.2020

Language: English

DOI: 10.1007/s00780-020-00441-4

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