Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem

DOI10.1134/S0005117922011008XMaRDI QIDQ2689635zbMATH OpenOpenAlexFDO

Authors S. N. Smirnov

Publication date 13 March 2023

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

Full work available at URL https://doi.org/10.1134/s0005117922011008x

zbMATH Keywords

absence of arbitrage opportunitiesarbitrageBellman-Isaacs equationdeterministic price dynamicsgame equilibriumguaranteed estimatemixed strategyno trading constraintsoptionrisk-neutral measuresuperreplication

Mathematics Subject Classification ID

Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(6)

• Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports
• A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Approximation and asymptotics in the superhedging problem for binary options

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