Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods
type: Item
instance of: scholarly article
title: Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods
zbMATH Open document ID: 1460.91277
published in: Computational Mathematics and Modeling
publication date: 2021-05-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7346789
zbMATH Keywords: guaranteed bounds
zbMATH Keywords: deterministic price dynamics
zbMATH Keywords: super-replication
zbMATH Keywords: option
zbMATH Keywords: structural stability
zbMATH Keywords: robust no-arbitrage condition
zbMATH Keywords: Bellman-Isaacs equations
zbMATH Keywords: multivalued mapping
zbMATH Keywords: mixed strategies
zbMATH Keywords: game equilibrium
zbMATH Keywords: concave hull of a function
zbMATH Keywords: Lipschitz property
zbMATH Keywords: numerical method
zbMATH Keywords: approximation accuracy
zbMATH Keywords: computational geometry
describes a project that uses: kepler98
author: S. N. Smirnov
MaRDI profile type: Publication
full work available at URL: s10598-020-09499-3
OpenAlex ID: W3093644497
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cites work: Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
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cites work: A FORMAL PROOF OF THE KEPLER CONJECTURE
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DOI: 10.1007/S10598-020-09499-3
description: scientific article; zbMATH DE number 7346789