Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation

作     者：Sergey N.Smirnov 

作者机构：Faculty of Computational Mathematics and CyberneticsLomonosov Moscow State UniversityMoscow119991Russian Federation 

出 版 物：《Journal of the Operations Research Society of China》 (中国运筹学会会刊（英文）)

年 卷 期：2024年第12卷第1期

页      面：215-241页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：Moscow Center of Fundamental and Applied Mathematics, MCFAM, (75-15-2022-284) Ministry of Education and Science of the Russian Federation, Minobrnauka 

主　　题：Uncertainty Structural stability No arbitrage Continuity of superhedging price Compact-valued multifunction Financial market model approximation Trading constraints 

摘      要：The present paper continues the topic of our recent paper in the same journal,aiming to show the role of structural stability in financial *** the context of financial market modeling,structural stability means that a specific“no-arbitrageproperty is unaffected by small(with respect to the Pompeiu–Hausdorff metric)perturbations of the model’s *** formulate,based on our economic interpretation,a new requirement concerning“no arbitrageproperties,which we call the“uncertainty principle.This principle in the case of no-trading constraints is equivalent to structural *** demonstrate that structural stability is essential for a correct model approximation(which is used in our numerical method for superhedging price computation).We also show that structural stability is important for the continuity of superhedging prices and discuss the sufficient conditions for this continuity.