A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports

DOI10.1007/978-3-030-76829-4_19zbMATH Open1479.91417OpenAlexW3196774780MaRDI QIDQ5014533FDOQ5014533

Authors: S. 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

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zbMATH Keywords

Bellman-Isaacs equationscontinuous selectionsemicontinuityset-valued mappingmixed strategiessuper-replicationtrading constraintsoptionno arbitragegame equilibrium

Mathematics Subject Classification ID

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

Cites Work

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Cited In (5)

• A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
• A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• Approximation and asymptotics in the superhedging problem for binary options
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium

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