{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,12]],"date-time":"2025-03-12T04:23:00Z","timestamp":1741753380956,"version":"3.38.0"},"reference-count":0,"publisher":"SAGE Publications","issue":"1-2","license":[{"start":{"date-parts":[[2012,9,1]],"date-time":"2012-09-01T00:00:00Z","timestamp":1346457600000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/journals.sagepub.com\/page\/policies\/text-and-data-mining-license"}],"content-domain":{"domain":["journals.sagepub.com"],"crossmark-restriction":true},"short-container-title":["Asymptotic Analysis"],"published-print":{"date-parts":[[2012,9]]},"abstract":" We consider a financial market with liquidity cost as in [\u00c7etin, Jarrow and Protter, Finance and Stochastics 8 (2004), 311\u2013341], where the supply function S\u03b5<\/jats:sup>(s,\u03bd) depends on a parameter \u03b5\u22650 with S0<\/jats:sup>(s,\u03bd)=s corresponding to the perfect liquid situation. Using the PDE characterization of \u00c7etin, Soner and Touzi [Finance and Stochastics 14(3) (2010), 317\u2013341], of the super-hedging cost of an option written on such a stock, we provide a Taylor expansion of the super-hedging cost in powers of \u03b5. In particular, we explicitly compute the first term in the expansion for a European Call option and give bounds for the order of the expansion for a European Digital Option. <\/jats:p>","DOI":"10.3233\/asy-2011-1089","type":"journal-article","created":{"date-parts":[[2019,11,30]],"date-time":"2019-11-30T00:22:10Z","timestamp":1575073330000},"page":"45-64","update-policy":"https:\/\/doi.org\/10.1177\/sage-journals-update-policy","source":"Crossref","is-referenced-by-count":9,"title":["Large liquidity expansion of super-hedging costs"],"prefix":"10.1177","volume":"79","author":[{"given":"Dylan","family":"Possama\u00ef","sequence":"first","affiliation":[{"name":"CMAP, Ecole Polytechnique, Paris, France. E-mails: {dylan.possamai, nizar.touzi}@polytechnique.edu"}]},{"given":"H. Mete","family":"Soner","sequence":"additional","affiliation":[{"name":"ETH (Swiss Federal Institute of Technology), Zurich, Switzerland. E-mail: hmsoner@ethz.ch"}]},{"given":"Nizar","family":"Touzi","sequence":"additional","affiliation":[{"name":"CMAP, Ecole Polytechnique, Paris, France. E-mails: {dylan.possamai, nizar.touzi}@polytechnique.edu"}]}],"member":"179","published-online":{"date-parts":[[2012,9,1]]},"container-title":["Asymptotic Analysis"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/ASY-2011-1089","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/ASY-2011-1089","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,3,11]],"date-time":"2025-03-11T07:02:04Z","timestamp":1741676524000},"score":1,"resource":{"primary":{"URL":"https:\/\/journals.sagepub.com\/doi\/10.3233\/ASY-2011-1089"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,9]]},"references-count":0,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2012,9]]}},"alternative-id":["10.3233\/ASY-2011-1089"],"URL":"https:\/\/doi.org\/10.3233\/asy-2011-1089","relation":{},"ISSN":["0921-7134","1875-8576"],"issn-type":[{"type":"print","value":"0921-7134"},{"type":"electronic","value":"1875-8576"}],"subject":[],"published":{"date-parts":[[2012,9]]}}}