A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations

DOI10.1134/S0005117921040081zbMath1462.91021OpenAlexW3155206707MaRDI QIDQ2034828

Sergey N. Smirnov

Publication date: 23 June 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117921040081

zbMATH Keywords

superreplicationoptionarbitrageBellman-Isaacs equationsmulti-valued mappingabsence of arbitrage opportunitiesdeterministic price dynamicsguaranteed estimates

Mathematics Subject Classification ID

Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints ⋮ Erratum: The Robust Superreplication Problem: A Dynamic Approach ⋮ Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem ⋮ Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium ⋮ Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations

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