Nonexpansive maps and option pricing theory

MaRDI QIDQ4909834zbMATH OpenFDO

Authors Vassili Kolokoltsov

Publication date 21 March 2013

Full work available at URL http://www.kybernetika.cz/content/1998/6

zbMATH Keywords

Black-Scholes formulaoption pricingstocks pricing evolution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Robust Control Framework for Option Pricing
• scientific article; zbMATH DE number 627763 (Why is no real title available?)
• scientific article; zbMATH DE number 1012624 (Why is no real title available?)
• Option pricing: A simplified approach

Cited in

(27)

• Noncommutative valuation of options
• Integrals based on monotone set functions
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• Mathematical foundation of artificial intelligence
• Fubini theorem and generalized Minkowski inequality for the pseudo-integral
• Realistic models of financial market and structural stability
• Poisson equations associated with a homogeneous and monotone function: necessary and sufficient conditions for a solution in a weakly convex case
• Generalized real analysis and its applications
• External pressure on alliances: what does the prisoners' dilemma reveal?
• An algorithm for the largest eigenvalue of nonhomogeneous nonnegative polynomials
• Guaranteed deterministic approach to superhedging: case of binary European option
• Real options and variational inequalities
• Generalized communication conditions and the eigenvalue problem for a monotone and homogeneous function
• Trajectory based market models: evaluation of minmax price bounds
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• scientific article; zbMATH DE number 2134080 (Why is no real title available?)
• Non-automatically exercised (NAE) European capped call pricing theory
• Robust Control Approach to Digital Option Pricing:Synthesis Approach
• Contractive mappings and existence of cycle times for a monotone and homogeneous function
• Trajectory based market models, evaluation of minmax price bounds
• The Perron-Frobenius theorem for homogeneous, monotone functions
• Performance of hedging strategies in interval models.
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
• Equivalence of communication and projective boundedness properties for monotone and homogeneous functions
• Approximation and asymptotics in the superhedging problem for binary options
• European option super-hedging as an antagonistic game

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