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scientific article; zbMATH DE number 2159230 - MaRDI portal

scientific article; zbMATH DE number 2159230

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Publication:4667173

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zbMath1093.91516MaRDI QIDQ4667173

Marco Sammartino

Publication date: 19 April 2005

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equation European option non-constant volatility

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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