  Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs,
Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial
scaling limits of superreplication prices in discrete-time models of a single
risky asset which is traded at properly scaled proportional transaction costs.
This article extends the result to a multi-variate setup where the investor can
trade in several risky assets. The $G$-expectation describing the limiting
price involves models with a volatility range around the frictionless scaling
limit that depends not only on the transaction costs coefficients but also on
the chosen complete discrete-time reference model.
