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Limit theorems for the super-hedging prices in general models with transaction costs

Lépinette, Emmanuel; Vu, Duc Thinh (2022), Limit theorems for the super-hedging prices in general models with transaction costs. https://basepub.dauphine.psl.eu/handle/123456789/23282

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Type
Document de travail / Working paper
Date
2022
Series title
Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
Published in
Paris
Pages
40
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Author(s)
Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Vu, Duc Thinh
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
We propose numerical methods that provide estimations of super-hedging prices of European claims in financial market models with transaction costs. The transaction costs we consider are functions of the traded volumes and prices. Contrarily to the usual models of the literature, the transaction costs are not necessary proportional to the traded volumes, neither convex. The particular case of fixed cost is also considered. Limit theorem are established and allow to numerically compute the infimum super-hedging prices.
Subjects / Keywords
Numerical methods in finance; Super-hedging prices; Transaction costs; No-arbitrage condition