A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports

DOI10.1007/978-3-030-76829-4_19zbMath1479.91417MaRDI QIDQ5014533

Sergey N. Smirnov

Publication date: 8 December 2021

Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_19

zbMATH Keywords

no arbitrage; semicontinuity; set-valued mapping; mixed strategies; option; continuous selection; super-replication; Bellman-Isaacs equations; trading constraints; game equilibrium

Mathematics Subject Classification ID

91A80: Applications of game theory

91G20: Derivative securities (option pricing, hedging, etc.)

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