Dynamic programming principle and computable prices in financial market models with transaction costs
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866914791072727040 |
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| author | Lepinette, Emmanuel Vu, Duc Thinh |
| author_facet | Lepinette, Emmanuel Vu, Duc Thinh |
| contents | How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it remains difficult to deduce numerical procedure to estimate them. We establish here a dynamic programming principle and we prove that it is possible to implement it under some conditions on the conditional supports of the price and volume processes for a large class of market models including convex costs such as order books but also non convex costs, e.g. fixed cost models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_06623 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Dynamic programming principle and computable prices in financial market models with transaction costs Lepinette, Emmanuel Vu, Duc Thinh Probability How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it remains difficult to deduce numerical procedure to estimate them. We establish here a dynamic programming principle and we prove that it is possible to implement it under some conditions on the conditional supports of the price and volume processes for a large class of market models including convex costs such as order books but also non convex costs, e.g. fixed cost models. |
| title | Dynamic programming principle and computable prices in financial market models with transaction costs |
| topic | Probability |
| url | https://arxiv.org/abs/2405.06623 |