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q-fin.MF2025
Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs
Emmanuel Lepinette, Amal Omrani
We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an…
q-fin.MF2024
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Tahir Choulli, Emmanuel Lepinette
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents ove…