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

Emmanuel Lépinette (1) , Duc Thinh Vu

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

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.

Mots clés: Numerical methods in finance; Super-hedging prices; Transaction costs; No-arbitrage condition

Domaines: Probabilités [math.PR]

Emmanuel Lépinette, Duc Thinh Vu. Limit theorems for the super-hedging prices in general models with transaction costs. 2022. ⟨hal-03699291⟩