A Stochastic Control Approach to the Pricing of Options
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DOI10.1287/MOOR.15.1.49zbMATH Open0706.90004OpenAlexW2025050129MaRDI QIDQ3487095FDOQ3487095
Authors: Emmanuel N. Barron, Robert R. Jensen 
Publication date: 1990
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.15.1.49
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20)
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- Contingent claim valuation in a market with different interest rates
- Approximation pricing and the variance-optimal martingale measure
- The Bellman equation for control of the running max of a diffusion and applications to look-back options
- Dynamic option hedging with transaction costs: A stochastic model predictive control approach
- Differential game-theoretic thoughts on option pricing and transaction costs
- Closed-form optimal strategies of continuous-time options with stochastic differential equations
- Total risk aversion and the pricing of options
- User’s guide to viscosity solutions of second order partial differential equations
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
- Option pricing with hedging at fixed trading dates
- On the pricing of contingent claims under constraints
- Dynamic option hedging via stochastic model predictive control based on scenario simulation
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