The Robust Control Approach to Option Pricing and Interval Models: An Overview
In: Numerical Methods in Finance
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DOI: 10.1007/0-387-25118-9_4
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Cited by:
- G. Rigatos & P. Siano, 2018. "Stabilization of Mortgage Price Dynamics Using a Boundary PDE Feedback Control Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 37-56, March.
- Henry Lam & Zhenming Liu, 2014. "From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments," Papers 1406.6084, arXiv.org.
- Gerasimos G. Rigatos, 2016. "Boundary Control Of The Black–Scholes Pde For Option Dynamics Stabilization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-29, June.
- Naïma El Farouq & Pierre Bernhard, 2015. "Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem," Post-Print hal-01090616, HAL.
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Keywords
Transaction Cost; Option Price; Market Model; Differential Game; Interval Model;All these keywords.
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