Abstract (EN)

We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executed prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random sets that allows to consider a large variety of models including bid-ask models with order books, but also models with a delay in the execution of the orders. We provide a dynamic programming principle under a weak no-arbitrage condition, the so-called AIP condition, under which the prices of the non negative European options are non negative. This condition is weaker than the existence of a risk-neutral martingale measure but it is sufficient to numerically solve completely the super-hedging problem. We illustrate our method by a numerical example.