A Robust Control Framework for Option Pricing

DOI10.1287/MOOR.22.1.202MaRDI QIDQ4339382zbMATH OpenOpenAlexFDO

Authors William M. Mceneaney

Publication date 9 June 1997

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

Full work available at URL https://doi.org/10.1287/moor.22.1.202

zbMATH Keywords

option pricingStratonovich integraldeterministic differential gamesItô integralBlack and Scholes price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) (H^infty)-control (93B36) Optimal stochastic control (93E20) Existence of solutions for minimax problems (49J35)

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• Dynamic option hedging via stochastic model predictive control based on scenario simulation
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• Robust option pricing: Hannan and Blackwell meet Black and Scholes
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• Minimax option pricing meets Black-Scholes in the limit
• Nonexpansive maps and option pricing theory
• PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
• Quantification of model uncertainty on path-space via goal-oriented relative entropy
• A linear matrix inequality approach for robust control of systems with delayed states

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