A Stochastic Control Approach to the Pricing of Options

DOI10.1287/MOOR.15.1.49zbMath0706.90004OpenAlexW2025050129MaRDI QIDQ3487095

Emmanuel Nicholas Barron, Robert R. Jensen

Publication date: 1990

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.15.1.49

zbMATH Keywords

Black-Scholes equationcall optionevolution of stock price

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20)

Related Items (11)

Option pricing with hedging at fixed trading dates ⋮ Approximation pricing and the variance-optimal martingale measure ⋮ User’s guide to viscosity solutions of second order partial differential equations ⋮ Closed-form optimal strategies of continuous-time options with stochastic differential equations ⋮ Contingent claim valuation in a market with different interest rates ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ DIFFERENTIAL GAME-THEORETIC THOUGHTS ON OPTION PRICING AND TRANSACTION COSTS ⋮ Claim pricing and hedging under market incompleteness and ``mean-variance preferences ⋮ The Bellman equation for control of the running max of a diffusion and applications to look-back options ⋮ On the pricing of contingent claims under constraints ⋮ Total risk aversion and the pricing of options

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