A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports (Q5014533)
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scientific article; zbMATH DE number 7440869
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| English | A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports |
scientific article; zbMATH DE number 7440869 |
Statements
A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports (English)
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8 December 2021
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super-replication
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option
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trading constraints
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no arbitrage
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Bellman-Isaacs equations
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mixed strategies
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game equilibrium
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semicontinuity
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set-valued mapping
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continuous selection
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0.9579574465751648
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0.9575627446174622
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0.8994178175926208
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0.8945143222808838
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