Guaranteed Deterministic Approach to Superhedging: Sensitivity of Solutions of the Bellman-Isaacs Equations and Numerical Methods
Tóm tắt
We consider a guaranteed deterministic formulation for the super-replication problem in discrete time: find a guaranteed coverage of a contingent claim on an option under all possible scenarios. These scenarios are specified by a priori compacta that depend on historical prices: the price increments at each instant should be in the corresponding compacta. We assume the presence of trading constraints and the absence of transaction costs. The problem is posed in a game-theoretical setting and leads to Bellman–Isaacs equations in both pure and mixed “market” strategies. In the present article, we investigate the sensitivity of the solutions to small perturbations of the compacta that describe price uncertainties over time. Numerical methods are proposed allowing for the problem’s specific features.
Tài liệu tham khảo
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