2 papers
q-fin.RM2024
Coherent Risk Measure on : NA Condition, Pricing and Dual Representation
Emmanuel Lepinette, Duc Thinh Vu
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure…
math.PR2024
Dynamic programming principle and computable prices in financial market models with transaction costs
Emmanuel Lepinette, Duc Thinh Vu
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 result…