Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2503.02419 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of 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.