Amal Omrani - Explicit Computation of Super-Hedging Prices and Strategies under Transaction Costs

vendredi 2 oct. 2026, 16:00 → 17:00 Europe/Paris

Salle Olga Ladyjenskaïa (IHP - Bâtiment Borel)

In markets with transaction costs, can super-hedging prices and strategies be explicitly characterized and computed directly from real market data, without relying on dual formulations? This talk presents a constructive approach based on conditional supports and dynamic programming, leading to explicit recursive formulas for super-hedging prices and strategies. The approach is illustrated using real market data.