Before revision:  This result is an extension of previous papers (see [ 1 ] , 2 , 10 and [ 11 ]) in which only European options with Markovian structure were considered. In [ 4 ] and 5 the authors suggested a purely probabilistic approach which is based on the Skorohod embedding and does not require a Markovian structure, but is limited to the one dimensional case.
After revision:  This result is an extension of previous papers (see [ 1 ] , 2 , 10 and [ 11 ]) in which only European options . In these papers the authors showed that with the presence of proportional transaction costs the super--replication price of a European option is given in terms of the concave envelope of the payoff function. In the present work we prove that for game options the super-replication price is given by a game variant analog of the standard concave envelope term. The treatment of game options is more complicated and requires additional tools. We combine the theory of consistent price systems together with the theory of extended weak convergence which was developed in [ 4 ] and 5 the authors suggested a purely probabilistic approach which is based on the Skorohod embedding and does not require a Markovian structure, but is limited to the one dimensional case.