Before revision:  Furthermore, we relate existing algorithms for the calculation of the scalar superhedging price to the set-valued algorithm by a recent duality theory for vector optimization problems  .
After revision:  Furthermore, we relate existing algorithms for the calculation of the scalar superhedging price to the set-valued algorithm by a recent duality theory for vector optimization problems . The main contribution of the paper is to establish the connection to linear vector optimization, which allows to solve numerically multi-asset superhedging problems under transaction costs .