Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The Scaling Limit of Superreplication Prices with Small Transaction
  Costs in the Multivariate Case   Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs,
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 multi-variate 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.

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The categories of this paper are: adap-org
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The categories of this paper are: nucl-ex
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The categories of this paper are: chao-dyn
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The categories of this paper are: supr-con
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The categories of this paper are: cmp-lg
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The categories of this paper are: q-fin
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The categories of this paper are: cond-mat
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The categories of this paper are: quant-ph
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The categories of this paper are: funct-an
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The categories of this paper are: acc-phys
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The categories of this paper are: physics
10
The categories of this paper are: q-bio
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The categories of this paper are: eess
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The categories of this paper are: gr-qc
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The categories of this paper are: chem-ph
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The categories of this paper are: hep-lat