COSA : Interactions in applied mathematics for economics, finance and Insurance / Interactions en mathématiques appliquées à l'économie, la finance et l'assurance

Collection COSA : Interactions in applied mathematics for economics, finance and Insurance / Interactions en mathématiques appliquées à l'économie, la finance et l'assurance

Organizer(s) Ben Amor, Mohamed Amine ; Carassus, Laurence ; Lépinette, Emmanuel ; Omrani, Amal

Date(s) 14/09/2026 - 18/09/2026

linked URL https://conferences.cirm-math.fr/3565.html

00:00:00 / 00:00:00

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Explicit characterization and backward construction of superhedging prices with transaction costs

Under proportional transaction costs, the super-hedging price is classically a supremum over consistent price systems — complete in theory, but rarely computable.

We make it explicit in discrete time by replacing the conditional law of returns with their conditional support: the worst-case constraint reduces to a supremum over a calibrated return band, attained by convexity at its two endpoints.

This yields a closed-form one-step price — the larger of a pure-price bound and a strategy-driven bound — and the exact interval of feasible strategies. On a payoff class stable under this step, a single backward recursion reconstructs prices and hedges, finite precisely under Absence of Immediate Profit. Illustrated out-of-sample on SPY.

Information about the video

Date of recording 15/09/2026
Date of publication 19/10/2026
Institution CIRM
Licence CC BY NC ND
Language English
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.20533503
Cite this video Omrani, Amal (15/09/2026). Explicit characterization and backward construction of superhedging prices with transaction costs. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.20533503
URL https://dx.doi.org/10.24350/CIRM.V.20533503

Domain(s)

Bibliography

LEPINETTE, Emmanuel et OMRANI, Amal. Computation of the Super-Hedging Strategies for Vanilla Options with Transaction Costs. 2026. - https://hal.science/hal-05626560v1

MSC codes

91G10 Portfolio theory

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