{"id":"https://openalex.org/W2266883433","doi":"https://doi.org/10.1007/s00780-016-0320-4","title":"The scaling limit of superreplication prices with small transaction costs in the multivariate case","display_name":"The scaling limit of superreplication prices with small transaction costs in the multivariate case","publication_year":2016,"publication_date":"2016-12-02","ids":{"openalex":"https://openalex.org/W2266883433","doi":"https://doi.org/10.1007/s00780-016-0320-4","mag":"2266883433"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-016-0320-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-016-0320-4","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026036747","display_name":"Peter Bank","orcid":null},"institutions":[{"id":"https://openalex.org/I4577782","display_name":"Technische Universit\u00e4t Berlin","ror":"https://ror.org/03v4gjf40","country_code":"DE","type":"education","lineage":["https://openalex.org/I4577782"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Peter Bank","raw_affiliation_strings":["Dept. of Mathematics, TU Berlin, Berlin, Germany"],"affiliations":[{"raw_affiliation_string":"Dept. of Mathematics, TU Berlin, Berlin, Germany","institution_ids":["https://openalex.org/I4577782"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5090768053","display_name":"Yan Dolinsky","orcid":"https://orcid.org/0000-0002-4585-6713"},"institutions":[{"id":"https://openalex.org/I197251160","display_name":"Hebrew University of Jerusalem","ror":"https://ror.org/03qxff017","country_code":"IL","type":"education","lineage":["https://openalex.org/I197251160"]}],"countries":["IL"],"is_corresponding":false,"raw_author_name":"Yan Dolinsky","raw_affiliation_strings":["Dept. of Statistics, Hebrew University, Jerusalem, Israel"],"affiliations":[{"raw_affiliation_string":"Dept. of Statistics, Hebrew University, Jerusalem, Israel","institution_ids":["https://openalex.org/I197251160"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010964919","display_name":"Ari-Pekka Perkki\u00f6","orcid":"https://orcid.org/0000-0002-9787-0330"},"institutions":[{"id":"https://openalex.org/I4577782","display_name":"Technische Universit\u00e4t Berlin","ror":"https://ror.org/03v4gjf40","country_code":"DE","type":"education","lineage":["https://openalex.org/I4577782"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Ari-Pekka Perkki\u00f6","raw_affiliation_strings":["Dept. of Mathematics, TU Berlin, Berlin, Germany"],"affiliations":[{"raw_affiliation_string":"Dept. of Mathematics, TU Berlin, Berlin, Germany","institution_ids":["https://openalex.org/I4577782"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5026036747"],"corresponding_institution_ids":["https://openalex.org/I4577782"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.3973,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.83506885,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"21","issue":"2","first_page":"487","last_page":"508"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9865999817848206,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9674000144004822,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.8144189119338989},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.7796108722686768},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.6879510879516602},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.6672782897949219},{"id":"https://openalex.org/keywords/scaling","display_name":"Scaling","score":0.5824518203735352},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5110443830490112},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4979860782623291},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3914507031440735},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3212518095970154},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.22021156549453735},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.1614115834236145},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.08067336678504944}],"concepts":[{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.8144189119338989},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.7796108722686768},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6879510879516602},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.6672782897949219},{"id":"https://openalex.org/C99844830","wikidata":"https://www.wikidata.org/wiki/Q102441924","display_name":"Scaling","level":2,"score":0.5824518203735352},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5110443830490112},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4979860782623291},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3914507031440735},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3212518095970154},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22021156549453735},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.1614115834236145},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.08067336678504944},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00780-016-0320-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-016-0320-4","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0320-4","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-016-0320-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5699999928474426}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W115132929","https://openalex.org/W1602822304","https://openalex.org/W1963486071","https://openalex.org/W1992925703","https://openalex.org/W1994351201","https://openalex.org/W1997345593","https://openalex.org/W2028380720","https://openalex.org/W2029759782","https://openalex.org/W2036404782","https://openalex.org/W2060302284","https://openalex.org/W2062114931","https://openalex.org/W2067553711","https://openalex.org/W2068433492","https://openalex.org/W2080910730","https://openalex.org/W2085366146","https://openalex.org/W2125946349","https://openalex.org/W2146612430","https://openalex.org/W2152335679","https://openalex.org/W2160533459","https://openalex.org/W2271468679","https://openalex.org/W3104974285","https://openalex.org/W3123401085","https://openalex.org/W4248731388","https://openalex.org/W4253577938"],"related_works":["https://openalex.org/W1977834205","https://openalex.org/W4234445916","https://openalex.org/W4253275321","https://openalex.org/W2406638334","https://openalex.org/W141820298","https://openalex.org/W1536727859","https://openalex.org/W4247818724","https://openalex.org/W4378770497","https://openalex.org/W2049584446","https://openalex.org/W3124009333"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
