Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach

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