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- W2315988993 abstract "We adapt a deterministic game theoretic framework in discrete time to super-hedge pricing contingent claims (CCs). The key aspect of this framework is that the worst-case scenario dictates the super-hedging price which protects counter-parties in financial contracts from insolvencies. A general application algorithm for super-hedge pricing of European CC portfolios with piecewise linear payoffs, based on linear programming, is offered for practical usage. Examples of path-dependent European CCs and portfolios of vanilla European CCs are presented to highlight important features of this pricing framework." @default.
- W2315988993 created "2016-06-24" @default.
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- W2315988993 date "2016-01-01" @default.
- W2315988993 modified "2023-09-24" @default.
- W2315988993 title "Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach" @default.
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- W2315988993 doi "https://doi.org/10.2139/ssrn.2756406" @default.
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