Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods

DOI10.1007/s10598-020-09499-3zbMath1460.91277OpenAlexW3093644497MaRDI QIDQ830988

Sergey N. Smirnov

Publication date: 10 May 2021

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-020-09499-3

zbMATH Keywords

numerical methodstructural stabilitymixed strategiesmultivalued mappingoptioncomputational geometryLipschitz propertysuper-replicationBellman-Isaacs equationsapproximation accuracyguaranteed boundsconcave hull of a functiondeterministic price dynamicsgame equilibriumrobust no-arbitrage condition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Guaranteed deterministic approach to superhedging: a numerical experiment ⋮ Guaranteed deterministic approach to superhedging: structural stability and approximation ⋮ Realistic models of financial market and structural stability

Uses Software

• kepler98

Cites Work

• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• Guaranteed deterministic approach to superhedging: properties of binary European option
• Algorithms of optimal set covering on the planar R^2
• A FORMAL PROOF OF THE KEPLER CONJECTURE
• Convex Analysis
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