Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm (Q3544236)
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scientific article; zbMATH DE number 5378720
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| English | Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm |
scientific article; zbMATH DE number 5378720 |
Statements
Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm (English)
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5 December 2008
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option pricing
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hedging
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transaction costs
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robust control
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impulse control
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0.8706969618797302
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0.8324103951454163
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0.8068922758102417
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