Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm

DOI10.1137/050626016zbMATH Open1152.49029OpenAlexW2001541947MaRDI QIDQ3544236FDOQ3544236

Authors: Pierre Bernhard, Stéphane Thiery, Naïma El Farouq 

Publication date: 5 December 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a79cac2a5a3f3829a3f2f41521ff449d725c9cea

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zbMATH Keywords

option pricingrobust controltransaction costshedgingimpulse control

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Differential games and control (49N70) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Realizations from input-output data (93B15)

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• The robust control approach to option pricing and interval models: an overview
• A deterministic-control-based approach to fully nonlinear parabolic and elliptic equations

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