Robust Control Approach to Digital Option Pricing:Synthesis Approach

DOI10.1007/978-0-8176-4834-3_15zbMath1180.91296OpenAlexW35744029MaRDI QIDQ3646716

Stéphane Thiery, Pierre Bernhard, Geert Jan Olsder

Publication date: 27 November 2009

Published in: Annals of the International Society of Dynamic Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-8176-4834-3_15

zbMATH Keywords

differential gamesoption pricingIsaacs' equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Geometry of optimal paths around focal singular surfaces in differential games
• Probability and Finance
• Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm
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