Kusuoka, Shigeo Limit theorem on option replication cost with transaction costs. (English) Zbl 0834.90049 Ann. Appl. Probab. 5, No. 1, 198-221 (1995). Summary: Option replication in a discrete-time framework with transaction costs and its limit is discussed. First, the notion of an efficient strategy is introduced, and then it is shown that an efficient strategy is the best strategy if it exists. It is also shown that the limit of the cost for option replication is given by a certain formula when the unit of time \(\Delta t\) tends to zero and the transaction costs tend to zero on the order of \(\sqrt{\Delta t}\). Cited in 6 ReviewsCited in 30 Documents MSC: 91G10 Portfolio theory 60F99 Limit theorems in probability theory Keywords:option replication; discrete-time framework PDFBibTeX XMLCite \textit{S. Kusuoka}, Ann. Appl. Probab. 5, No. 1, 198--221 (1995; Zbl 0834.90049) Full Text: DOI