  A method for pricing and superhedging European options under proportional
transaction costs based on linear vector optimisation and geometric duality
developed by Lohne & Rudloff (2014) is compared to a special case of the
algorithms for American type derivatives due to Roux & Zastawniak (2014). An
equivalence between these two approaches is established by means of a general
result linking the support function of the upper image of a linear vector
optimisation problem with the lower image of the dual linear optimisation
problem.
