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Remarks on the Pricing of Contingent Claims Under Constraints - MaRDI portal

Remarks on the Pricing of Contingent Claims Under Constraints

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Publication:5273714

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DOI10.1109/TAC.2004.824475zbMath1366.91151MaRDI QIDQ5273714

Alain Bensoussan

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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