{"id":"https://openalex.org/W2128417925","doi":"https://doi.org/10.3233/asy-2011-1089","title":"Large liquidity expansion of super-hedging costs","display_name":"Large liquidity expansion of super-hedging costs","publication_year":2012,"publication_date":"2012-09-01","ids":{"openalex":"https://openalex.org/W2128417925","doi":"https://doi.org/10.3233/asy-2011-1089","mag":"2128417925"},"language":"en","primary_location":{"id":"doi:10.3233/asy-2011-1089","is_oa":false,"landing_page_url":"https://doi.org/10.3233/asy-2011-1089","pdf_url":null,"source":{"id":"https://openalex.org/S141283892","display_name":"Asymptotic Analysis","issn_l":"0921-7134","issn":["0921-7134","1875-8576"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asymptotic Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1208.3785","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Dylan Possama\u00ef","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Dylan Possama\u00ef","raw_affiliation_strings":["CMAP, Ecole Polytechnique, Paris, France. E-mails: {dylan.possamai, nizar.touzi}@polytechnique.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CMAP, Ecole Polytechnique, Paris, France. E-mails: {dylan.possamai, nizar.touzi}@polytechnique.edu","institution_ids":["https://openalex.org/I142476485"]}]},{"author_position":"middle","author":{"id":null,"display_name":"H. Mete Soner","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"H. Mete Soner","raw_affiliation_strings":["ETH (Swiss Federal Institute of Technology), Zurich, Switzerland. E-mail: hmsoner@ethz.ch"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ETH (Swiss Federal Institute of Technology), Zurich, Switzerland. E-mail: hmsoner@ethz.ch","institution_ids":[]}]},{"author_position":"last","author":{"id":null,"display_name":"Nizar Touzi","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Nizar Touzi","raw_affiliation_strings":["CMAP, Ecole Polytechnique, Paris, France. E-mails: {dylan.possamai, nizar.touzi}@polytechnique.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CMAP, Ecole Polytechnique, Paris, France. E-mails: {dylan.possamai, nizar.touzi}@polytechnique.edu","institution_ids":["https://openalex.org/I142476485"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I142476485"],"apc_list":null,"apc_paid":null,"fwci":2.6941,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.91668971,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"79","issue":"1-2","first_page":"45","last_page":"64"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9563999772071838,"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":0.9563999772071838,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.011599999852478504,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.004399999976158142,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.722100019454956},{"id":"https://openalex.org/keywords/taylor-series","display_name":"Taylor series","score":0.6413999795913696},{"id":"https://openalex.org/keywords/term","display_name":"Term (time)","score":0.43529999256134033},{"id":"https://openalex.org/keywords/supply","display_name":"Supply","score":0.4205999970436096},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.41679999232292175},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.4075999855995178},{"id":"https://openalex.org/keywords/binary-option","display_name":"Binary option","score":0.3840999901294708},{"id":"https://openalex.org/keywords/market-impact","display_name":"Market impact","score":0.36809998750686646}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.722100019454956},{"id":"https://openalex.org/C158946198","wikidata":"https://www.wikidata.org/wiki/Q131187","display_name":"Taylor series","level":2,"score":0.6413999795913696},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5002999901771545},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.43529999256134033},{"id":"https://openalex.org/C137535293","wikidata":"https://www.wikidata.org/wiki/Q542869","display_name":"Supply","level":2,"score":0.4205999970436096},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.41679999232292175},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4075999855995178},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40689998865127563},{"id":"https://openalex.org/C36613032","wikidata":"https://www.wikidata.org/wiki/Q549269","display_name":"Binary option","level":4,"score":0.3840999901294708},{"id":"https://openalex.org/C127288500","wikidata":"https://www.wikidata.org/wiki/Q1241055","display_name":"Market impact","level":4,"score":0.36809998750686646},{"id":"https://openalex.org/C186080144","wikidata":"https://www.wikidata.org/wiki/Q358733","display_name":"Series expansion","level":2,"score":0.3578000068664551},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.3285999894142151},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.32850000262260437},{"id":"https://openalex.org/C19736811","wikidata":"https://www.wikidata.org/wiki/Q1225659","display_name":"LIBOR market model","level":3,"score":0.3167000114917755},{"id":"https://openalex.org/C176923680","wikidata":"https://www.wikidata.org/wiki/Q3002739","display_name":"Liquidity crisis","level":3,"score":0.30809998512268066},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.30559998750686646},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.27300000190734863},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.27149999141693115},{"id":"https://openalex.org/C2778222704","wikidata":"https://www.wikidata.org/wiki/Q1898150","display_name":"Taylor rule","level":4,"score":0.2667999863624573},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.25850000977516174},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.2554999887943268}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.3233/asy-2011-1089","is_oa":false,"landing_page_url":"https://doi.org/10.3233/asy-2011-1089","pdf_url":null,"source":{"id":"https://openalex.org/S141283892","display_name":"Asymptotic Analysis","issn_l":"0921-7134","issn":["0921-7134","1875-8576"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asymptotic Analysis","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1208.3785","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1208.3785","pdf_url":"https://arxiv.org/pdf/1208.3785","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"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":"text"},{"id":"pmh:oai:HAL:hal-00919306v1","is_oa":false,"landing_page_url":"https://hal.science/hal-00919306","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Asymptotic Analysis, 2012, 79 (1-2), pp.45-64. ⟨10.3233/ASY-2011-1089⟩","raw_type":"Journal articles"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1208.3785","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1208.3785","pdf_url":"https://arxiv.org/pdf/1208.3785","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"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":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"We":[0],"consider":[1],"a":[2,29,67,71,94,108],"financial":[3],"market":[4],"with":[5,32],"liquidity":[6],"cost":[7,60,77],"as":[8],"in":[9,78,90],"[\u00c7etin,":[10],"Jarrow":[11],"and":[12,15,49,52,98],"Protter,":[13],"Finance":[14],"Stochastics":[16,53],"8":[17],"(2004),":[18],"311\u2013341],":[19],"where":[20],"the":[21,38,43,58,75,87,91,102,105],"supply":[22],"function":[23],"S":[24,33],"\u03b5":[25],"(s,\u03bd)":[26],"depends":[27],"on":[28,65],"parameter":[30],"\u03b5\u22650":[31],"0":[34],"(s,\u03bd)=s":[35],"corresponding":[36],"to":[37],"perfect":[39],"liquid":[40],"situation.":[41],"Using":[42],"PDE":[44],"characterization":[45],"of":[46,57,61,74,80,104],"\u00c7etin,":[47],"Soner":[48],"Touzi":[50],"[Finance":[51],"14(3)":[54],"(2010),":[55],"317\u2013341],":[56],"super-hedging":[59,76],"an":[62],"option":[63,97],"written":[64],"such":[66],"stock,":[68],"we":[69,84],"provide":[70],"Taylor":[72],"expansion":[73,92,106],"powers":[79],"\u03b5.":[81],"In":[82],"particular,":[83],"explicitly":[85],"compute":[86],"first":[88],"term":[89],"for":[93,101,107],"European":[95,109],"Call":[96],"give":[99],"bounds":[100],"order":[103],"Digital":[110],"Option.":[111]},"counts_by_year":[{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-04-30T06:05:26.967640","created_date":"2016-06-24T00:00:00"}