Scaling Limits for Super--replication with Transient Price Impact. (arXiv:1810.07832v1 [q-fin.MF])

We prove limit theorems for the super-replication cost of European options in a Binomial model with transient price impact. We show that if the time step goes to zero and the effective resilience between consecutive trading times remains constant then the limit of the super--replication prices coincide with the scaling limit for temporary price impact with a modified market depth.