{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,4,6]],"date-time":"2024-04-06T17:51:34Z","timestamp":1712425894198},"reference-count":23,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T00:00:00Z","timestamp":1456358400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2016,4]]},"DOI":"10.1007\/s00780-016-0294-2","type":"journal-article","created":{"date-parts":[[2016,2,25]],"date-time":"2016-02-25T15:14:39Z","timestamp":1456413279000},"page":"381-431","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Asymptotic replication with modified volatility under small transaction costs"],"prefix":"10.1007","volume":"20","author":[{"given":"Jiatu","family":"Cai","sequence":"first","affiliation":[]},{"given":"Masaaki","family":"Fukasawa","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2016,2,25]]},"reference":[{"key":"294_CR1","doi-asserted-by":"crossref","first-page":"676","DOI":"10.1214\/aoap\/1028903447","volume":"8","author":"H. Ahn","year":"1998","unstructured":"Ahn, H., Dayal, M., Grannan, E., Swindle, G.: Option replication with transaction costs: general diffusion limits. Ann. Appl. Probab. 8, 676\u2013707 (1998)","journal-title":"Ann. Appl. Probab."},{"key":"294_CR2","doi-asserted-by":"crossref","first-page":"369","DOI":"10.1007\/s007800050046","volume":"2","author":"G. Barles","year":"1998","unstructured":"Barles, G., Soner, H.M.: Option pricing with transaction costs and a nonlinear Black\u2013Scholes equation. Finance Stoch. 2, 369\u2013397 (1998)","journal-title":"Finance Stoch."},{"key":"294_CR3","doi-asserted-by":"crossref","first-page":"651","DOI":"10.1007\/s00780-014-0233-z","volume":"18","author":"M. Bichuch","year":"2014","unstructured":"Bichuch, M.: Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. Finance Stoch. 18, 651\u2013694 (2014)","journal-title":"Finance Stoch."},{"key":"294_CR4","doi-asserted-by":"crossref","first-page":"470","DOI":"10.1137\/0331022","volume":"31","author":"M. Davis","year":"1993","unstructured":"Davis, M., Panas, V.G., Zariphopoulou, T.: European option pricing with transaction costs. SIAM J. Control Optim. 31, 470\u2013493 (1993)","journal-title":"SIAM J. Control Optim."},{"key":"294_CR5","doi-asserted-by":"crossref","first-page":"625","DOI":"10.1007\/s00780-010-0130-z","volume":"14","author":"E. Denis","year":"2010","unstructured":"Denis, E., Kabanov, Y.: Mean square error for the Leland\u2013Lott hedging strategy: convex pay-offs. Finance Stoch. 14, 625\u2013667 (2010)","journal-title":"Finance Stoch."},{"key":"294_CR6","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1111\/1467-9965.00047","volume":"8","author":"N. El Karoui","year":"1998","unstructured":"El Karoui, N., Jeanblanc-Picqu\u00e9, M., Shreve, S.E.: Robustness of the Black and Scholes formula. Math. Finance 8, 93\u2013126 (1998)","journal-title":"Math. Finance"},{"key":"294_CR7","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1142\/9789814407335_0004","volume-title":"Recent Advances in Financial Engineering 2011","author":"M. Fukasawa","year":"2012","unstructured":"Fukasawa, M.: Conservative delta hedging under transaction costs. In: Takahashi, A., et al. (eds.) Recent Advances in Financial Engineering 2011, pp.\u00a055\u201372. World Scientific, Singapore (2012)"},{"key":"294_CR8","series-title":"Fields Institute Communications","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1007\/978-1-4939-3076-0_17","volume-title":"Asymptotic Laws and Methods in Stochastics","author":"P.W. Glynn","year":"2015","unstructured":"Glynn, P.W., Wang, R.J.: Central limit theorems and large deviations for additive functionals of reflecting diffusion processes. In: Dawson, D., et al. (eds.) Asymptotic Laws and Methods in Stochastics. Fields Institute Communications, vol.\u00a076, pp.\u00a0329\u2013345. Springer, Berlin (2015)"},{"key":"294_CR9","doi-asserted-by":"crossref","first-page":"341","DOI":"10.1111\/j.1467-9965.1996.tb00121.x","volume":"6","author":"E. Grannan","year":"1996","unstructured":"Grannan, E., Swindle, G.: Minimizing transaction costs of option hedging strategies. Math. Finance 6, 341\u2013364 (1996)","journal-title":"Math. Finance"},{"key":"294_CR10","first-page":"222","volume":"8","author":"S.D. Hodges","year":"1989","unstructured":"Hodges, S.D., Neuberger, A.: Optimal replication of contingent claims under transaction costs. Rev. Futures Mark. 8, 222\u2013239 (1989)","journal-title":"Rev. Futures Mark."},{"key":"294_CR11","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-05265-5","volume-title":"Limit Theorems for Stochastic Processes","author":"J. Jacod","year":"2003","unstructured":"Jacod, J., Shiryaev, A.: Limit Theorems for Stochastic Processes, 2nd edn. Springer, Berlin (2003)","edition":"2"},{"key":"294_CR12","volume-title":"Markets with Transaction Costs. Mathematical Theory","author":"Y. Kabanov","year":"2009","unstructured":"Kabanov, Y., Safarian, M.: Markets with Transaction Costs. Mathematical Theory. Springer, Berlin (2009)"},{"key":"294_CR13","unstructured":"Kallsen, J., Li, S.: Portfolio optimization under small transaction costs: a convex duality approach. Preprint, available online at arXiv:1309.3479 (2013)"},{"key":"294_CR14","doi-asserted-by":"crossref","first-page":"1283","DOI":"10.1111\/j.1540-6261.1985.tb02383.x","volume":"40","author":"H. Leland","year":"1985","unstructured":"Leland, H.: Option pricing and replication with transaction costs. J. Finance 40, 1283\u20131301 (1985)","journal-title":"J. Finance"},{"key":"294_CR15","doi-asserted-by":"crossref","first-page":"410","DOI":"10.1214\/aoap\/1034625338","volume":"7","author":"S. Levental","year":"1997","unstructured":"Levental, S., Skorokhod, A.V.: On the possibility of hedging options in the presence of transaction costs. Ann. Appl. Probab. 7, 410\u2013443 (1997)","journal-title":"Ann. Appl. Probab."},{"key":"294_CR16","doi-asserted-by":"crossref","first-page":"3173","DOI":"10.1016\/j.spa.2009.05.003","volume":"119","author":"A. Papavasiliou","year":"2009","unstructured":"Papavasiliou, A., Pavliotis, G.A., Stuart, A.M.: Maximum likelihood drift estimation for multiscale diffusions. Stoch. Process. Appl. 119, 3173\u20133210 (2009)","journal-title":"Stoch. Process. Appl."},{"key":"294_CR17","series-title":"Lecture Notes in Mathematics","doi-asserted-by":"crossref","first-page":"70","DOI":"10.1007\/978-3-540-71189-6_2","volume-title":"S\u00e9minaire de Probabilit\u00e9s XL","author":"G. Peskir","year":"2007","unstructured":"Peskir, G.: A change-of-variable formula with local time on surfaces. In: Donati-Martin, C., et al. (eds.) S\u00e9minaire de Probabilit\u00e9s XL. Lecture Notes in Mathematics, vol.\u00a01899, pp.\u00a070\u201396. Springer, Berlin (2007)"},{"key":"294_CR18","volume-title":"Asymptotic Methods in the Theory of Stochastic Differential Equations","author":"A.V. Skorokhod","year":"1987","unstructured":"Skorokhod, A.V.: Asymptotic Methods in the Theory of Stochastic Differential Equations. Am. Math. Soc., Providence (1987)"},{"key":"294_CR19","doi-asserted-by":"crossref","first-page":"2893","DOI":"10.1137\/120870165","volume":"51","author":"H.M. Soner","year":"2013","unstructured":"Soner, H.M., Touzi, N.: Homogenization and asymptotics for small transaction costs. SIAM J. Control Optim. 51, 2893\u20132921 (2013)","journal-title":"SIAM J. Control Optim."},{"key":"294_CR20","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1214\/aoap\/1177004767","volume":"5","author":"H.M. Soner","year":"1995","unstructured":"Soner, H.M., Shreve, S.E., Cvitani\u0107, J.: There is no nontrivial hedging portfolio for option pricing with transaction costs. Ann. Appl. Probab. 5, 327\u2013355 (1995)","journal-title":"Ann. Appl. Probab."},{"key":"294_CR21","doi-asserted-by":"crossref","first-page":"163","DOI":"10.32917\/hmj\/1206135203","volume":"9","author":"H. Tanaka","year":"1979","unstructured":"Tanaka, H.: Stochastic differential equations with reflecting boundary conditions in convex regions. Hiroshima Math. J. 9, 163\u2013177 (1979)","journal-title":"Hiroshima Math. J."},{"key":"294_CR22","doi-asserted-by":"crossref","first-page":"233","DOI":"10.2307\/2331181","volume":"31","author":"K. Toft","year":"1996","unstructured":"Toft, K.: On the mean-variance tradeoff in option replication with transaction costs. J. Financ. Quant. Anal. 31, 233\u2013263 (1996)","journal-title":"J. Financ. Quant. Anal."},{"key":"294_CR23","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1111\/1467-9965.00034","volume":"7","author":"A.E. Whalley","year":"1997","unstructured":"Whalley, A.E., Wilmott, P.: An asymptotic analysis of an option hedging model for option pricing with transaction costs. Math. Finance 7, 307\u2013324 (1997)","journal-title":"Math. Finance"}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-016-0294-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-016-0294-2\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-016-0294-2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,5]],"date-time":"2019-09-05T00:17:42Z","timestamp":1567642662000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-016-0294-2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,2,25]]},"references-count":23,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2016,4]]}},"alternative-id":["294"],"URL":"https:\/\/doi.org\/10.1007\/s00780-016-0294-2","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,2,25]]}}}