Guaranteed deterministic approach to superhedging: case of binary European option
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Publication:2664861
DOI10.1155/2021/5568636zbMath1482.91207OpenAlexW3174678917MaRDI QIDQ2664861
Andrey Yu. Zanochkin, Sergey N. Smirnov
Publication date: 18 November 2021
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2021/5568636
Martingales with discrete parameter (60G42) Optimality conditions and duality in mathematical programming (90C46) Applications of game theory (91A80) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)
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