A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
type: Item
instance of: scholarly article
title: A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
zbMATH Open document ID: 1462.91021
DOI: 10.1134/S0005117921040081
published in: Automation and Remote Control
publication date: 2021-06-23T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91A80
zbMATH DE Number: 7362241
zbMATH Keywords: guaranteed estimates
zbMATH Keywords: deterministic price dynamics
zbMATH Keywords: superreplication
zbMATH Keywords: option
zbMATH Keywords: arbitrage
zbMATH Keywords: absence of arbitrage opportunities
zbMATH Keywords: Bellman-Isaacs equations
zbMATH Keywords: multi-valued mapping
author: S. N. Smirnov
MaRDI profile type: Publication
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full work available at URL: s0005117921040081
OpenAlex ID: W3155206707
description: scientific article; zbMATH DE number 7362241