OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST

DOI10.1142/S0219024901000912zbMath1153.91494OpenAlexW2039290851MaRDI QIDQ3523568

Sergei Mikhailov, Sergei P. Fedotov

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901000912

zbMATH Keywords

forecastadaptive controloption pricingincomplete markets, stochastic optimization, transaction costs

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing European options by numerical replication: quadratic programming with constraints ⋮ Properties of multinomial lattices with cumulants for option pricing and hedging ⋮ Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC} ⋮ VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING ⋮ DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS

Cites Work

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