A guaranteed deterministic approach to superhedging: no arbitrage market condition

zbMATH Open1426.91278MaRDI QIDQ5240348FDOQ5240348

Authors: S. N. Smirnov 

Publication date: 25 October 2019

Full work available at URL: http://mathnet.ru/eng/mgta236

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zbMATH Keywords

robustnessBellman-Isaacs equationsstructural stabilitymulti-valued mappingsuper-replicationarbitrageoptionabsence of arbitrage opportunitiesdeterministic price dynamicsguaranteed estimates

Mathematics Subject Classification ID

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

Cites Work

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• Arbitrage and equilibrium in economies with infinitely many commodities
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• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• General Arbitrage Pricing Model: I – Probability Approach
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Cited In (12)

• 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 proprieties of semicontinuity and continuity of the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• 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
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
• Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit
• Geometric criterion for a robust condition of no sure arbitrage with unlimited profit
• Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

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