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

zbMATH Open1444.91213MaRDI QIDQ3299331FDOQ3299331

Authors: S. N. Smirnov 

Publication date: 22 July 2020

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

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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)

Cites Work

• Convex Analysis
• Topology and measure
• Minimax Theorems
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Lebesgue measurability and the axiom of determinateness
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• 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 Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: no arbitrage market condition

Cited In (10)

• Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods
• A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
• Guaranteed deterministic approach to superhedging: a numerical experiment
• Guaranteed deterministic approach to superhedging: structural stability and approximation
• A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
• 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: mixed strategies and game equilibrium
• A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports

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