Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation (Q6495228)

scientific article; zbMATH DE number 7840832

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English	Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation	scientific article; zbMATH DE number 7840832

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instance of

scholarly article

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title

Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation (English)

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author

Sergey N. Smirnov

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published in

Journal of the Operations Research Society of China

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publication date

30 April 2024

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MaRDI profile type

MaRDI publication profile

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cites work

Realistic models of financial market and structural stability

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THE RANGE OF TRADED OPTION PRICES

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A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

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Universal arbitrage aggregator in discrete-time markets under uncertainty

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Model-free superhedging duality

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Pointwise Arbitrage Pricing Theory in Discrete Time

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The interval market model in mathematical finance. Game-theoretic methods

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A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations

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Geometric criterion for a robust condition of no sure arbitrage with unlimited profit

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Local martingales and the fundamental asset pricing theorems in the discrete-time case

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Pricing without no-arbitrage condition in discrete time

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Convex Analysis

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No-arbitrage conditions and pricing from discrete-time to continuous-time strategies

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Dynamic trading under integer constraints

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A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints

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Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit

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Motzkin decomposition of closed convex sets

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Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium

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Extreme Points of Vector Functions

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Identifiers

DOI

10.1007/s40305-023-00524-x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6495228