The interval market model in mathematical finance. Game-theoretic methods

DOI10.1007/978-0-8176-8388-7zbMath1279.91005OpenAlexW2157557807MaRDI QIDQ1761399

Johannes M. Schumacher, Berend Roorda, Jean-Pierre Aubin, Pierre Bernhard, Patrick Saint-Pierre, Vassili N. Kolokol'tsov, Jacob Christiaan Engwerda

Publication date: 15 November 2012

Published in: Static \& Dynamic Game Theory: Foundations \& Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-8176-8388-7

zbMATH Keywords

differential gamesgame theoryviscosity solutionrobust controlincomplete marketoption pricingAmerican optionsBlack-Scholes modelreal optionscredit default swapsrainbow optionsBermudan optionsdigital optionsminimax formulaConstant Proportion Portfolio Insurancediscrete-time and continuous-time hedgingfair price intervalGuaranteed Capture Basin Algorithminterval market modelViabilist Portfolio Performance and Insurance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Other game-theoretic models (91A40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

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