Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations (Q2069713)
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scientific article; zbMATH DE number 7461119
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| English | Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations |
scientific article; zbMATH DE number 7461119 |
Statements
Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations (English)
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21 January 2022
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guaranteed estimate
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deterministic price dynamics
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superreplication
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option
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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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robust no arbitrage condition
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0.9891732931137084
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0.9441937804222108
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0.9265455603599548
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0.9057629704475404
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