A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
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Publication:5883333
DOI10.1137/S0040585X97T991143MaRDI QIDQ5883333
Publication date: 30 March 2023
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
set-valued mappingmixed strategiesAmerican optionBellman-Isaacs equationssuperhedginggeneralized Snell envelopedeterministic price dynamicsno arbitrage opportunitiesrisk-neutral measuresno trading constraintsguaranteed pricing
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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