A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
DOI10.1137/S0040585X97T991143MaRDI QIDQ5883333FDOQ5883333
Authors: S. N. Smirnov 
Publication date: 30 March 2023
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
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American optionBellman-Isaacs equationsset-valued mappingmixed strategiessuperhedginggeneralized Snell envelopedeterministic price dynamicsno arbitrage opportunitiesrisk-neutral measuresno trading constraintsguaranteed pricing
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- A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
- Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
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- A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
Cited In (9)
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- 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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