A robust control framework for option pricing

Mathematics of Operations Research

Volumn 22, Issue 1, 1997, Pages 202-221

  McEneaney, William M ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

Black scholes formula; Option pricing; Robust control; Viscosity solutions

Indexed keywords

COMPUTATIONAL COMPLEXITY; GAME THEORY; MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS; PROBABILITY; PROBLEM SOLVING; RANDOM PROCESSES; ROBUSTNESS (CONTROL SYSTEMS);

BLACK SCHOLES FORMULA; OPTION PRICING PROBLEM; STOP LOSS HEDGING TECHNIQUE;

FINANCE;

EID: 0031074611     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.22.1.202     Document Type: Article

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