scientific article; zbMATH DE number 6308036

zbMath1296.91260MaRDI QIDQ4981562

Pierre Bernhard, Naïma El Farouq

Publication date: 24 June 2014

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

zbMATH Keywords

robust controloption pricingviscosity solutions

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem ⋮ Degenerate First-Order Quasi-variational Inequalities: An Approach to Approximate the Value Function

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