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

Black and Scholes pricedeterministic differential gamesItô integraloption pricingStratonovich integral

Mathematics Subject Classification ID

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

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• Minimax option pricing meets Black-Scholes in the limit

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