LÖHNE, ANDREAS; RUDLOFF, BIRGIT - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450012-1
We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive construction involving set operations, going backward...