Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm

DOI10.1137/050626016zbMath1152.49029OpenAlexW2001541947MaRDI QIDQ3544236

Stéphane Thiery, Pierre Bernhard, Naïma El Farouq

Publication date: 5 December 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a79cac2a5a3f3829a3f2f41521ff449d725c9cea

zbMATH Keywords

robust controlhedgingoption pricingtransaction costsimpulse control

Mathematics Subject Classification ID

Differential games and control (49N70) Derivative securities (option pricing, hedging, etc.) (91G20) Realizations from input-output data (93B15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25)

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