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 in the event tree. We reformulate the problem as a sequence of
linear vector optimization problems and solve it by adapting known algorithms. The
corresponding superhedging strategy can be obtained going forward in the tree. Examples …

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 in the event tree. We reformulate the problem as a sequence of
linear vector optimization problems and solve it by adapting known algorithms. The
corresponding superhedging strategy can be obtained going forward in the tree. Examples …