scientific article; zbMATH DE number 953314

zbMATH Open0863.90017MaRDI QIDQ4718262FDOQ4718262

Authors: Jerzy Zabczyk 

Publication date: 10 June 1997

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 1009462
• On the pricing of American options
• scientific article; zbMATH DE number 1239754
• scientific article; zbMATH DE number 796440

zbMATH Keywords

stochastic invariancestochastic controllabilityEuropean and American optionsfair prices

Mathematics Subject Classification ID

Controllability (93B05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited In (9)

• Option strategies with linear programming
• Continuously controlled options: derivatives with added flexibility
• Title not available (Why is that?)
• A dynamic programming approach for pricing CDS and CDS options
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
• A direct solution method for pricing options involving the maximum process
• Diffusion approximation for average investor's income with loss risk
• Title not available (Why is that?)
• Pricing Options With Curved Boundaries¹

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4718262)