A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium

MaRDI QIDQ3299331zbMATH OpenFDO

Authors S. N. Smirnov

Publication date 22 July 2020

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

zbMATH Keywords

Bellman-Isaacs equationsmultivalued mappingmixed strategiessuper-replicationarbitrageoptionabsence of arbitrage opportunitiesdeterministic price dynamicsgame equilibriumguaranteed estimates

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3071410 (Why is no real title available?)
• scientific article; zbMATH DE number 3096400 (Why is no real title available?)
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: no arbitrage market condition
• Convex Analysis
• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• Minimax Theorems
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• On the Lebesgue measurability and the axiom of determinateness
• Topology and measure

Cited in

(10)

• A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
• A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
• Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods
• Guaranteed deterministic approach to superhedging: case of binary European option
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem
• Guaranteed deterministic approach to superhedging: a numerical experiment
• Guaranteed deterministic approach to superhedging: structural stability and approximation
• 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

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