Dynamic programming principle and computable prices in financial market models with transaction costs

Emmanuel Lépinette () and Duc Thinh Vu
Additional contact information
Emmanuel Lépinette: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: How to compute (super) hedging costs in rather general financial 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.

Keywords: Hedging costs; European options; Dynamic programming principle; No-arbitrage condition; AIP condition; Random set theory; Lower semicontinuity (search for similar items in EconPapers)
Date: 2023-08
Note: View the original document on HAL open archive server: https://hal.science/hal-03284655v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Mathematical Analysis and Applications, 2023, 524 (2), pp.127068. ⟨10.1016/j.jmaa.2023.127068⟩

Downloads: (external link)
https://hal.science/hal-03284655v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03284655

DOI: 10.1016/j.jmaa.2023.127068

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().