The interval market model in mathematical finance. Game-theoretic methods
DOI10.1007/978-0-8176-8388-7zbMath1279.91005MaRDI QIDQ1761399
Johannes M. Schumacher, Berend Roorda, Jean-Pierre Aubin, Pierre Bernhard, Patrick Saint-Pierre, Vassili N. Kolokol'tsov, Jacob Christiaan Engwerda
Publication date: 15 November 2012
Published in: Static \& Dynamic Game Theory: Foundations \& Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-0-8176-8388-7
differential games; game theory; viscosity solution; robust control; incomplete market; option pricing; American options; Black-Scholes model; real options; credit default swaps; rainbow options; Bermudan options; digital options; minimax formula; Constant Proportion Portfolio Insurance; discrete-time and continuous-time hedging; fair price interval; Guaranteed Capture Basin Algorithm; interval market model; Viabilist Portfolio Performance and Insurance
91G60: Numerical methods (including Monte Carlo methods)
49N90: Applications of optimal control and differential games
91A23: Differential games (aspects of game theory)
91A80: Applications of game theory
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91A40: Other game-theoretic models
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
91G10: Portfolio theory
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