Approximation and asymptotics in the superhedging problem for binary options

DOI10.1007/S10436-024-00454-5MaRDI QIDQ6655447zbMATH OpenFDO

Authors S. N. Smirnov, Dimitri Sotnikov, Andrey Yu. Zanochkin

Publication date 23 December 2024

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10436-024-00454-5

zbMATH Keywords

binary optionguaranteed approachstopped processsuperhedging

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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Cites work

• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
• A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports
• A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Arbitrage and duality in nondominated discrete-time models
• Erratum to: ``The robust superreplication problem: a dynamic approach
• Guaranteed deterministic approach to superhedging: case of binary European option
• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem
• Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Nonexpansive maps and option pricing theory
• On modifications of the Bachelier model
• Option pricing: A simplified approach
• Pricing without no-arbitrage condition in discrete time
• Stochastic finance. An introduction in discrete time.
• Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
• The interval market model in mathematical finance. Game-theoretic methods
• The pricing of options and corporate liabilities
• The robust superreplication problem: a dynamic approach
• Über stochastische Asymptoten und Grenzwerte.

Cited in

(1)

• European option super-hedging as an antagonistic game

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