A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints

DOI10.1137/S0040585X97T991143MaRDI QIDQ5883333zbMATH OpenFDO

Authors S. N. Smirnov

Publication date 30 March 2023

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

American optionBellman-Isaacs equationsset-valued mappingmixed strategiessuperhedginggeneralized Snell envelopedeterministic price dynamicsno arbitrage opportunitiesrisk-neutral measuresno trading constraintsguaranteed pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3761167 (Why is no real title available?)
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• scientific article; zbMATH DE number 3071410 (Why is no real title available?)
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
• Convex Analysis
• Equivalent martingale measures and no-arbitrage
• General theorem on a finite support of mixed strategy in the theory of zero-sum games
• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Measurable relations
• Optional decomposition and Lagrange multipliers
• Probability-2
• Stochastic finance. An introduction in discrete time.
• The interval market model in mathematical finance. Game-theoretic methods

Cited in

(9)

• Guaranteed deterministic approach to superhedging: structural stability and approximation
• 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
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• Guaranteed deterministic approach to superhedging: case of binary European option
• Approximation and asymptotics in the superhedging problem for binary options
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market

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