Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations

DOI10.1007/978-3-030-23699-1_14zbMath1427.91281OpenAlexW2977083776MaRDI QIDQ2008311

Publication date: 25 November 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-23699-1_14

continuity semicontinuity modulus of continuity multivalued mapping option arbitrage Lipschitz functions super-replication Bellman-Isaacs equations deterministic price dynamics guaranteed estimates no arbitrage opportunities

Mathematics Subject Classification ID

Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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