Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm (Q3544236)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm |
scientific article; zbMATH DE number 5378720
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
5 December 2008
0 references
option pricing
0 references
hedging
0 references
transaction costs
0 references
robust control
0 references
impulse control
0 references
0.8706969618797302
0 references
0.8324103951454163
0 references
0.8068922758102417
0 references
