Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations

DOI10.1134/S0005117921110163zbMATH Open1480.91295OpenAlexW4200170647MaRDI QIDQ2069713FDOQ2069713

Authors: S. N. Smirnov 

Publication date: 21 January 2022

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117921110163

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zbMATH Keywords

Bellman-Isaacs equationscontinuitysemicontinuitysuperreplicationmultivalued mappingoptiondeterministic price dynamicsguaranteed estimaterobust no arbitrage condition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Stochastic finance. An introduction in discrete time.
• A Feller transition kernel with measure supports given by a set-valued mapping
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market

Cited In (12)

• Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods
• Guaranteed deterministic approach to superhedging: a numerical experiment
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: the proprieties of semicontinuity and continuity of the Bellman-Isaacs equations
• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• Approximation and asymptotics in the superhedging problem for binary options
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
• Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem
• Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium

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