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

DOI10.1137/S0040585X97T991143MaRDI QIDQ5883333

Sergey N. Smirnov

Publication date: 30 March 2023

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

zbMATH Keywords

set-valued mappingmixed strategiesAmerican optionBellman-Isaacs equationssuperhedginggeneralized Snell envelopedeterministic price dynamicsno arbitrage opportunitiesrisk-neutral measuresno trading constraintsguaranteed pricing

Mathematics Subject Classification ID

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

Cites Work

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