A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints (Q5883333)
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scientific article; zbMATH DE number 7669781
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| English | A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints |
scientific article; zbMATH DE number 7669781 |
Statements
A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints (English)
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30 March 2023
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guaranteed pricing
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deterministic price dynamics
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superhedging
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American option
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no arbitrage opportunities
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Bellman-Isaacs equations
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set-valued mapping
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mixed strategies
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no trading constraints
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risk-neutral measures
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generalized Snell envelope
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0.927582621574402
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0.9266432523727416
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0.903191864490509
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0.9014568328857422
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