Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium

DOI10.1134/S0005117922012013XOpenAlexW4327641239MaRDI QIDQ2691547

Sergey N. Smirnov

Publication date: 29 March 2023

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

Full work available at URL: https://doi.org/10.1134/s0005117922012013x

zbMATH Keywords

superreplicationBellman-Isaacs equationmultivalued mappingoptionarbitragemixed strategyabsence of arbitrage opportunitiesdeterministic price dynamicsgame equilibriumguaranteed estimate

Mathematics Subject Classification ID

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

Cites Work

• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
• Topology and measure
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• On the Lebesgue measurability and the axiom of determinateness
• Convex Analysis
• An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints
• Minimax Theorems
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