scientific article; zbMATH DE number 2202836
From MaRDI portal
Publication:5314910
Recommendations
- Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm
- The robust control approach to option pricing and interval models: an overview
- Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem
- European Option Pricing with Transaction Costs
- A Robust Control Framework for Option Pricing
Cited in
(16)- Deterministic minimax impulse control
- A numerical study of the utility-indifference approach for pricing American options
- The value of a minimax problem involving impulse control
- Differential game-theoretic thoughts on option pricing and transaction costs
- The robust control approach to option pricing and interval models: an overview
- Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm
- Robust Control Approach to Digital Option Pricing:Synthesis Approach
- A Robust Control Framework for Option Pricing
- scientific article; zbMATH DE number 6308036 (Why is no real title available?)
- Dynamic option hedging with transaction costs: A stochastic model predictive control approach
- Performance of hedging strategies in interval models.
- Almost sure properties of controlled diffusions and worst case properties of deterministic systems
- Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
- Phenomena in inverse Stackelberg games. II: Dynamic problems
- Phenomena in inverse Stackelberg games. I: Static problems
- Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem
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 Q5314910)