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Regular version of the site

Article

Guaranteed Deterministic Approach to Superhedging: A Numerical Experiment

Computational Mathematics and Modeling. 2021. Vol. 32. P. 22-44.
Andreev N. A., Smirnov S. N.

We consider a guaranteed deterministic approach to discrete-time super-replication for guaranteed coverage of contingent claims on options for all possible asset-price scenarios. Price increases during a period are assumed to be contained in a priori specified compacta dependent on price history. A game problem is stated and reduced to the solution of the corresponding Bellman–Isaacs equation. Numerical solution algorithms on a discrete lattice are considered for the Bellman–Isaacs equation. Results of a numerical experiment are reported for various model specifications.