Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem (Q2689635)
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scientific article; zbMATH DE number 7662534
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| English | Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem |
scientific article; zbMATH DE number 7662534 |
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Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem (English)
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13 March 2023
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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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arbitrage
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absence of arbitrage opportunities
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Bellman-Isaacs equation
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mixed strategy
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game equilibrium
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no trading constraints
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risk-neutral measure
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0.9938141107559204
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0.9723294377326964
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0.9024764895439148
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0.9007193446159363
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