{
  "id": "2405.06623",
  "version": "v1",
  "published": "2024-05-10T17:36:11.000Z",
  "updated": "2024-05-10T17:36:11.000Z",
  "title": "Dynamic programming principle and computable prices in financial market models with transaction costs",
  "authors": [
    "Emmanuel Lepinette",
    "Duc Thinh Vu"
  ],
  "journal": "Journal of Mathematical Analysis and Applications (2023)",
  "doi": "10.1016/j.jmaa.2023.127068",
  "categories": [
    "math.PR"
  ],
  "abstract": "How to compute (super) hedging costs in rather general fi- nancial 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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2024-05-10T17:36:11.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "dynamic programming principle",
      "financial market models",
      "transaction costs",
      "computable prices",
      "non convex costs"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "publisher": "Elsevier"
    },
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}