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.
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Translated from Prikladnaya Matematika i Informatika, No. 65, 2021, pp. 31–60.
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Andreev, N.A., Smirnov, S.N. Guaranteed Deterministic Approach to Superhedging: A Numerical Experiment. Comput Math Model 32, 22–44 (2021). https://doi.org/10.1007/s10598-021-09514-1
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DOI: https://doi.org/10.1007/s10598-021-09514-1