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Article Dans Une Revue Journal of Mathematical Analysis and Applications Année : 2023

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

Duc Thinh Vu

Résumé

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.
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Dates et versions

hal-03284655 , version 1 (12-07-2021)

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Emmanuel Lépinette, Duc Thinh Vu. Dynamic programming principle and computable prices in financial market models with transaction costs.. Journal of Mathematical Analysis and Applications, 2023, 524 (2), pp.127068. ⟨10.1016/j.jmaa.2023.127068⟩. ⟨hal-03284655⟩
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