Guaranteed Deterministic Approach to Superhedging: A Numerical Experiment

Author:

Andreev N. A.,Smirnov S. N.

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics

Reference26 articles.

1. S. N. Smirnov, “Guaranteed deterministic approach to superhedging: sensitivity of solutions of Bellman–Isaacs equations and numerical methods,” Computational Mathematics and Modeling, 31, No. 3, 384–401 (2020).

2. S. N. Smirnov, “Guaranteed deterministic approach to superhedging: market model, trading constraints, no arbitrage, and Bellman–Isaacs equations,” Matematicheskaya Teoriya Igr i Ee Prilozheniya, 10, No. 4, 59–99 (2018).

3. S. N. Smirnov, “Guaranteed deterministic approach to superhedging: properties of “no agribtrage” markets,” Matematicheskaya Teoriya Igr i Ee Prilozheniya, 11, No. 2, 68–95 (2019).

4. S. N. Smirnov, “Guaranteed deterministic approach to superhedging: semicontinuity and continuity of the solutions of the Bellman–Isaacs equations,” Matematicheskaya Teoriya Igr i Ee Prilozheniya, 11, No. 4, 87–115 (2019).

5. S. N. Smirnov, “A guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman–Isaacs equations,” in: Frontiers of Dynamic Games. Game Theory and Management, St. Peterburg, Birkhauser, Cham (2019), pp. 267–288.

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