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A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Optionsстатья
Статья опубликована в высокорейтинговом журнале
Информация о цитировании статьи получена из
Web of Science,
Scopus
Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 24 января 2020 г.
- Автор: Sergey Smirnov
- Журнал: Mathematics
- Том: 7
- Номер: 12
- Год издания: 2019
- Издательство: MDPI
- Местоположение издательства: Basel, Switzerland
- Первая страница: 1
- Последняя страница: 18
- DOI: 10.3390/math7121246
- Аннотация: Abstract: This paper considers super-replication in a guaranteed deterministic problem setting with discrete time. The aim of hedging a contingent claim is to ensure the coverage of possible payoffs under the option contract for all admissible scenarios. These scenarios are given by means of a priori given compacts that depend on the history of prices. The increments of the price at each moment in time must lie in the corresponding compacts. The absence of transaction costs is assumed. The game–theoretic interpretation of pricing American options implies that the corresponding Bellman–Isaacs equations hold for both pure and mixed strategies. In the present paper, we study some properties of the least favorable (for the “hedger”) mixed strategies of the “market” and of their supports in the special case of convex payoff functions.
- Добавил в систему: Смирнов Сергей Николаевич