scientific article; zbMATH DE number 2202836

zbMath1181.91309MaRDI QIDQ5314910

Pierre Bernhard

Publication date: 5 September 2005

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

zbMATH Keywords

portfoliorobustnesshedgingoption pricingdifferential gametransaction costs

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Phenomena in inverse Stackelberg games. II: Dynamic problems ⋮ Phenomena in inverse Stackelberg games. I: Static problems ⋮ Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application ⋮ A numerical study of the utility-indifference approach for pricing American options ⋮ Deterministic minimax impulse control ⋮ The value of a minimax problem involving impulse control ⋮ Almost sure properties of controlled diffusions and worst case properties of deterministic systems ⋮ Unnamed Item ⋮ Robust Control Approach to Digital Option Pricing:Synthesis Approach

This page was built for publication: