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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2503.02419 |
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| _version_ | 1866918186659610624 |
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| author | Lepinette, Emmanuel Omrani, Amal |
| author_facet | Lepinette, Emmanuel Omrani, Amal |
| contents | We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the super-hedging price and the corresponding optimal strategy without relying on martingale arguments. The method is based on convex duality and a distorted Legendre--Fenchel transform, ensuring both tractability and convexity of the value functions. A numerical implementation on real market data illustrates the practical relevance of the proposed approach. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_02419 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs Lepinette, Emmanuel Omrani, Amal Mathematical Finance 60, 90-10, 90C15, 90C39, 90C25, 68 G.3 We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the super-hedging price and the corresponding optimal strategy without relying on martingale arguments. The method is based on convex duality and a distorted Legendre--Fenchel transform, ensuring both tractability and convexity of the value functions. A numerical implementation on real market data illustrates the practical relevance of the proposed approach. |
| title | Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs |
| topic | Mathematical Finance 60, 90-10, 90C15, 90C39, 90C25, 68 G.3 |
| url | https://arxiv.org/abs/2503.02419 |