scientific article
From MaRDI portal
Publication:3120175
zbMath1407.91219MaRDI QIDQ3120175
Iván Degano, Alfredo L. González, Sebastian E. Ferrando
Publication date: 1 March 2019
Full work available at URL: http://online.watsci.org/contents2019/v26n1b.html
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
dynamic programminghedgingarbitrageminmax optimizationfair price boundsnon-probabilistic market models
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Existence of solutions for minimax problems (49J35) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions for minimax problems (49K35) Portfolio theory (91G10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Universal arbitrage aggregator in discrete-time markets under uncertainty
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging
- Stochastic optimal control. The discrete time case
- On the range of options prices
- Derivative Pricing in Discrete Time
- Stochastic Finance
- Arbitrage pricing with incomplete markets
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Option pricing: A simplified approach