  We study superreplication of European contingent claims in discrete time in a
large trader model with market indifference prices recently proposed by Bank
and Kramkov. We introduce a suitable notion of efficient friction in this
framework, adopting a terminology introduced by Kabanov, Rasonyi, and Stricker
in the context of models with proportional transaction costs. In our framework,
efficient friction ensures that large positions of the investor may lead to
large losses, a fact from which we derive the existence of superreplicating
strategies. We illustrate that without this condition there may be no
superreplicating strategy with minimal costs. In our main result, we establish
efficient friction under a tail condition on the conditional distributions of
the traded securities and under an asymptotic criterion on risk aversions of
the market makers. Another result asserts that strict monotonicity of the
conditional essential infima and suprema of the security prices is sufficient
for efficient friction. We give examples that satisfy the assumptions in our
conditions, which include non-degenerate finite sample space models as well as
Levy processes and an affine stochastic volatility model of
Barndorff-Nielsen-Shepard type.
