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

DOI10.1134/S0005117921110163MaRDI QIDQ2069713zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bellman-Isaacs equationscontinuitysemicontinuitysuperreplicationmultivalued mappingoptiondeterministic price dynamicsguaranteed estimaterobust no arbitrage condition

Mathematics Subject Classification ID

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

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Cites work

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• 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
• Stochastic finance. An introduction in discrete time.

Cited in

(12)

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• 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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