scientific article; zbMATH DE number 7291879

zbMath1458.91213MaRDI QIDQ5143140

Sergey N. Smirnov

Publication date: 11 January 2021

Full work available at URL: http://mathnet.ru/eng/mgta264

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zbMATH Keywords

mixed strategiesoptionarbitragesuper-replicationBellman-Isaacs equationsabsence of arbitrage opportunitiesdeterministic price dynamicsgame equilibriumguaranteed estimatesrisk-neutral measuresno trading constraints

Mathematics Subject Classification ID

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

Related Items (5)

A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints ⋮ Guaranteed deterministic approach to superhedging: a numerical experiment ⋮ Guaranteed deterministic approach to superhedging: structural stability and approximation ⋮ Guaranteed deterministic approach to superhedging: case of binary European option ⋮ A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports

Cites Work

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• The extrema of probability determined by generalized moments. I: Bounded random variables
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• General theorem on a finite support of mixed strategy in the theory of zero-sum games
• The interval market model in mathematical finance. Game-theoretic methods
• On the cone of a finite dimensional compact convex set at a point
• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• Parameterfreie Abschätzung und Realisierung von Erwartungswerten
• Moments of non-negative mass
• Representation Theorems for Distribution Functions
• Guaranteed deterministic approach to superhedging: properties of binary European option
• Convex Analysis
• On quasi-compact measures
• On extreme points of regular convex sets

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