A guaranteed deterministic approach to superhedging: no arbitrage properties of the market

DOI10.1134/S0005117921010124zbMath1460.91276OpenAlexW3134692241MaRDI QIDQ2660513

Sergey N. Smirnov

Publication date: 30 March 2021

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

Full work available at URL: https://doi.org/10.1134/s0005117921010124

zbMATH Keywords

robustnessmultivalued mappingoptionarbitragesuper-replicationBellman-Isaacs equationsdeterministic price dynamicsguaranteed estimatesno arbitrage opportunitiesstructural stability of model

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

Cites Work

• Multivalued mappings
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• On the different notions of arbitrage and existence of equilibrium
• A general version of the fundamental theorem of asset pricing
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Guaranteed deterministic approach to superhedging: properties of binary European option
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• General Arbitrage Pricing Model: I – Probability Approach
• An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints
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