J. Grépat, Yuri Kabanov, “On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs”, Finance and Stochastics, 2021, Volume 25, Issue 1, Pages 167

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Finance and Stochastics, 2021, Volume 25, Issue 1, Pages 167–187
DOI: https://doi.org/10.1007/s00780-020-00441-4 (Mi finst1)

This article is cited in 1 scientific paper (total in 1 paper)

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

Citations (1)

DOI: https://doi.org/10.1007/s00780-020-00441-4

Funding agency	Grant number
Russian Science Foundation	19-11-00290
The work was supported by the Russian Science Foundation under grant no. 19-11-00290 and performed at Steklov Mathematical Institute of Russian Academy of Sciences.

Received: 31.07.2019
Accepted: 26.08.2020

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Document Type: Article

Language: English

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