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A short note on super-hedging an arbitrary number of European options with integer-valued strategies - MaRDI portal

A short note on super-hedging an arbitrary number of European options with integer-valued strategies

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Publication:6582436

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DOI10.1007/s10957-024-02409-2zbMath1544.91316MaRDI QIDQ6582436

Emmanuel Lépinette, Dorsaf Cherif, Meriam El Mansour

Publication date: 2 August 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

European options dynamic programming principle super-hedging prices integer-valued strategies optimal super-hedging prices

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20)

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