scientific article; zbMATH DE number 6856147

zbMath1407.91218arXiv1511.01207MaRDI QIDQ4609640

Alfredo L. González, Iván Degano, Sebastian E. Ferrando

Publication date: 5 April 2018

Full work available at URL: https://arxiv.org/abs/1511.01207

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dynamic programminghedgingarbitrageminmax optimizationfair price boundsnon-probabilistic market models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions for minimax problems (49K35) Portfolio theory (91G10)

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Cites Work

• Universal arbitrage aggregator in discrete-time markets under uncertainty
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• Stochastic optimal control. The discrete time case
• On the range of options prices
• Derivative Pricing in Discrete Time
• Stochastic Finance
• Arbitrage pricing with incomplete markets
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Option pricing: A simplified approach
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