英文标题：
《Scaling Limits for Super--replication with Transient Price Impact》
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作者：
Peter Bank and Yan Dolinsky
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最新提交年份：
2019
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英文摘要：
We prove a scaling limit theorem for the super-replication cost of options in a Cox--Ross--Rubinstein binomial model with transient price impact. The correct scaling turns out to keep the market depth parameter constant while resilience over fixed periods of time grows in inverse proportion with the duration between trading times. For vanilla options, the scaling limit is found to coincide with the one obtained by PDE methods in [12] for models with purely temporary price impact. These models are a special case of our framework and so our probabilistic scaling limit argument allows one to expand the scope of the scaling limit result to path-dependent options.
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中文摘要：
在一个具有瞬时价格影响的考克斯-罗斯-鲁宾斯坦二项模型中，我们证明了期权超复制成本的标度极限定理。结果表明，正确的标度可以保持市场深度参数不变，而在固定时间段内的弹性与交易时间之间的持续时间成反比增长。对于普通期权，发现比例限制与【12】中PDE方法获得的纯暂时价格影响模型的比例限制一致。这些模型是我们框架的一个特例，因此我们的概率缩放限制参数允许我们将缩放限制结果的范围扩展到路径相关选项。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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