scientific article; zbMATH DE number 7291879
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Publication:5143140
zbMath1458.91213MaRDI QIDQ5143140
Publication date: 11 January 2021
Full work available at URL: http://mathnet.ru/eng/mgta264
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mixed strategiesoptionarbitragesuper-replicationBellman-Isaacs equationsabsence of arbitrage opportunitiesdeterministic price dynamicsgame equilibriumguaranteed estimatesrisk-neutral measuresno trading constraints
Related Items (5)
A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints ⋮ 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 ⋮ A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports
Cites Work
- The extrema of probability determined by generalized moments. I: Bounded random variables
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- General theorem on a finite support of mixed strategy in the theory of zero-sum games
- The interval market model in mathematical finance. Game-theoretic methods
- On the cone of a finite dimensional compact convex set at a point
- Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
- Parameterfreie Abschätzung und Realisierung von Erwartungswerten
- Moments of non-negative mass
- Representation Theorems for Distribution Functions
- Guaranteed deterministic approach to superhedging: properties of binary European option
- Convex Analysis
- On quasi-compact measures
- On extreme points of regular convex sets
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