A class of financial products and models where super-replication prices are explicit

International audienceWe consider a multidimensional financial model with mild conditions on the underlying asset price process. The trading is only allowed at some fixed discrete times and the strategy is constrained to lie in a closed convex cone. We show how the minimal cost of a super hedging strategy can be easily computed by a backward recursive scheme. As an application, when the underlying follows a stochastic differential equation including stochastic volatility or Poisson jumps, we compute those super-replication prices for a range of European and American style options, including Asian, Lookback or Barrier Options. We also perform some multidimensional computations