Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black–Scholes equations (Q3119609)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black–Scholes equations |
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Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black–Scholes equations (English)
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12 March 2019
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robust control
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extreme points of risk neutral probabilities
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sub-modular payoffs
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dominated hedging
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super-replication
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transaction cost
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incomplete market
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rainbow options
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American options
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nonlinear Black-Scholes equation
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fractional Black-Scholes equation
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