A Robust Control Framework for Option Pricing
From MaRDI portal
Publication:4339382
DOI10.1287/moor.22.1.202zbMath0871.90010OpenAlexW2018686852MaRDI QIDQ4339382
Publication date: 9 June 1997
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.22.1.202
Itô integraloption pricingStratonovich integraldeterministic differential gamesBlack and Scholes price
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH ⋮ A linear matrix inequality approach for robust control of systems with delayed states ⋮ Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy ⋮ Unnamed Item
This page was built for publication: A Robust Control Framework for Option Pricing
