Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods (Q830988)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods |
scientific article |
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Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods (English)
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10 May 2021
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guaranteed bounds
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deterministic price dynamics
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super-replication
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option
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structural stability
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robust no-arbitrage condition
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Bellman-Isaacs equations
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multivalued mapping
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mixed strategies
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game equilibrium
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concave hull of a function
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Lipschitz property
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numerical method
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approximation accuracy
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computational geometry
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