Robust Control Approach to Digital Option Pricing:Synthesis Approach

DOI10.1007/978-0-8176-4834-3_15MaRDI QIDQ3646716zbMATH OpenOpenAlexFDO

Authors Stéphane Thiery, Pierre Bernhard, Geert Jan Olsder

Publication date 27 November 2009

Published in Annals of the International Society of Dynamic Games (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-0-8176-4834-3_15

zbMATH Keywords

option pricingdifferential gamesIsaacs' equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 2134080 (Why is no real title available?)
• scientific article; zbMATH DE number 5121100 (Why is no real title available?)
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• scientific article; zbMATH DE number 2202836 (Why is no real title available?)
• Dynamic management of portfolios with transaction costs under tychastic uncertainty
• Geometry of optimal paths around focal singular surfaces in differential games
• Nonexpansive maps and option pricing theory
• Performance of hedging strategies in interval models.
• Probability and finance. It's only a game!
• Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm
• The robust control approach to option pricing and interval models: an overview

Cited in

(2)

• scientific article; zbMATH DE number 6308036 (Why is no real title available?)
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