A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports

DOI10.1007/978-3-030-76829-4_19zbMath1479.91417OpenAlexW3196774780MaRDI QIDQ5014533

Sergey N. Smirnov

Publication date: 8 December 2021

Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_19

zbMATH Keywords

no arbitragesemicontinuityset-valued mappingmixed strategiesoptioncontinuous selectionsuper-replicationBellman-Isaacs equationstrading constraintsgame equilibrium

Mathematics Subject Classification ID

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

Cites Work

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