scientific article

zbMath1444.91213MaRDI QIDQ3299331

Sergey N. Smirnov

Publication date: 22 July 2020

Full work available at URL: http://mathnet.ru/eng/mgta254

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

mixed strategiesmultivalued mappingoptionarbitragesuper-replicationBellman-Isaacs equationsabsence of arbitrage opportunitiesdeterministic price dynamicsgame equilibriumguaranteed estimates

Mathematics Subject Classification ID

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

Related Items (8)

A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints ⋮ Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods ⋮ Guaranteed deterministic approach to superhedging: a numerical experiment ⋮ Guaranteed deterministic approach to superhedging: structural stability and approximation ⋮ Guaranteed deterministic approach to superhedging: case of binary European option ⋮ Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem ⋮ Unnamed Item ⋮ A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports

Cites Work

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• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• Topology and measure
• 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
• Minimax Theorems

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