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- Title
Guaranteed Deterministic Approach to Superhedging: Mixed Strategies and Game Equilibrium.
- Authors
Smirnov, S. N.
- Abstract
For a discrete-time superreplication problem, a guaranteed deterministic formulation is considered: the problem is to ensure the cheapest coverage of the contingent claim on an option under all scenarios that are set using a priori defined compacts depending on the price history. Price increments at each moment of time must lie in the corresponding compact sets. We consider a market with trading constraints and no transaction costs. The statement of the problem is game-theoretic in nature and leads directly to the Bellman–Isaacs equations. In this article, we introduce a mixed extension of the "market" pure strategies. Several results concerning game equilibrium are obtained.
- Subjects
STRATEGY games; NASH equilibrium; PRICES; TRANSACTION costs; SET-valued maps
- Publication
Automation & Remote Control, 2022, Vol 83, Issue 12, p2019
- ISSN
0005-1179
- Publication type
Academic Journal
- DOI
10.1134/S0005117922012013X