A Stochastic Control Approach to the Pricing of Options

DOI10.1287/MOOR.15.1.49MaRDI QIDQ3487095zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Black-Scholes equationcall optionevolution of stock price

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20)

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Cited in

(17)

• Approximation pricing and the variance-optimal martingale measure
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• Stochastic Control and Pricing Under Swap Measures
• scientific article; zbMATH DE number 6308036 (Why is no real title available?)
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• Total risk aversion and the pricing of options
• Option pricing with hedging at fixed trading dates
• A Robust Control Framework for Option Pricing
• Dynamic option hedging via stochastic model predictive control based on scenario simulation
• On the pricing of contingent claims under constraints
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• Closed-form optimal strategies of continuous-time options with stochastic differential equations
• The Bellman equation for control of the running max of a diffusion and applications to look-back options
• Differential game-theoretic thoughts on option pricing and transaction costs
• Contingent claim valuation in a market with different interest rates
• User’s guide to viscosity solutions of second order partial differential equations

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