Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations (Q2008311)

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Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
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    Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations (English)
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    25 November 2019
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    guaranteed estimates
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    deterministic price dynamics
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    super-replication
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    option
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    arbitrage
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    no arbitrage opportunities
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    Bellman-Isaacs equations
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    multivalued mapping
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    semicontinuity
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    continuity
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    modulus of continuity
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    Lipschitz functions
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