Amal Omrani - Explicit Computation of Super-Hedging Prices and Strategies under Transaction Costs

Organisé par

Institut Henri Poincaré

In markets with transaction costs, can super-hedging prices and strategies be explicitly characterized and computed directly from real market data, without relying on dual formulations? This talk presents a constructive approach based on conditional supports and dynamic programming, leading to explicit recursive formulas for super-hedging prices and strategies. The approach is illustrated using re

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