A Guaranteed Deterministic Approach to Superhedging: Financial Market Model, Trading Constraints, and the Bellman–Isaacs Equations

Author:

Smirnov S. N.

Publisher

Pleiades Publishing Ltd

Subject

Control and Systems Engineering,Electrical and Electronic Engineering

Reference47 articles.

1. Andreev, N.A. and Smirnov, S.N., Guaranteed approach to investment and hedging problems, in Tikhonovskie chteniya: nauchnaya konferentsiya: tezisy dokladov: posvyashchaetsya pamyati akad. A.N. Tikhonova: 29 oktyabrya–2 noyabrya 2018 g. (Tikhonov Readings: Abstr. Rep. Sci. Conf. Dedicated to Acad. A.N. Tikhonov, October 29–November 2, 2018), Moscow: MAKS Press, 2018, p. 11.

2. Arkhipov, V.M., Zakharov, I.Yu., Naumenko, V.V., and Smirnov, S.N., Preconditions for introducing quantitative performance measures for EMH, Preprint of Higher School of Economics, Moscow, 2007, Ser. WP16 Financial Engineering, Risk Management, and Actuarial Science, no. WP16/2007/05.

3. Bertsekas, D.P. and Shreve, S.E., Stochastic Optimal Control. The Discrete Time Case, New York–San Francisco–London: Academic Press, 1978. Translated under the title: Stokhasticheskoe optimal’noe upravlenie: sluchai diskretnogo vremeni, Moscow: Nauka, 1985.

4. Zakharov, A.V. and Mussa, D.A., Garantirovannyi podkhod k zadache tsenoobrazovaniya i khedzhirovaniyadlya sluchaya obuslovlennogo obyazatel’stva s neskol’kimi riskovymi aktivami (Guaranteed approach to the problem of pricing and hedging for a contingent liability with multiple risky assets), Available from VINITI, 2001, Moscow, no. 1092–B01.

5. Zverev, O.V. and Khametov, V.M., Minimax hedging of European-style options in incomplete markets (discrete time), Obozr. Prikl. Prom. Mat., 2011, vol. 18, no. 1, pp. 26–54.

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