Dolinsky, Yan; Soner, Halil - In: Finance and Stochastics 17 (2013) 3, pp. 447-475
We prove limit theorems for the super-replication cost of European options in a binomial model with friction. Examples covered are markets with proportional transaction costs and illiquid markets. A dual representation for the super-replication cost in these models is obtained and used to prove...