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Volumn , Issue , 2005, Pages 91-108

The robust control approach to option pricing and interval models: An overview

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EID: 55349096700     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/0-387-25118-9_4     Document Type: Chapter
Times cited : (14)

References (20)
  • 3
    • 0039669210 scopus 로고
    • Singular surfaces in differential games: An introduction
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    • Bernhard, P. (1977). Singular surfaces in differential games: an introduction. In: Haggedorn et al. (eds.), Differential games and Applications, pp. 1-33. Lecture Notes in Information and Control Sciences, vol. 3. Springer, Berlin.
    • (1977) Differential Games and Applications , vol.3 , pp. 1-33
    • Bernhard, P.1
  • 4
    • 55349087469 scopus 로고    scopus 로고
    • Une approche déterministe de l'évaluation d'options
    • J-L. Menaldi, E. Roffman, and A. Sulem eds., IOS Press
    • Bernhard, P. (2001). Une approche déterministe de l'évaluation d'options. In: J-L. Menaldi, E. Roffman, and A. Sulem (eds.), Optimal Control and Partial Differential Equations, pp. 511-520. IOS Press.
    • (2001) Optimal Control and Partial Differential Equations , pp. 511-520
    • Bernhard, P.1
  • 6
    • 84892226732 scopus 로고    scopus 로고
    • An explicit solution of quasi-variational inequality arising in finances
    • Goslar, Germany
    • Bernhard, P. (2003b). An explicit solution of quasi-variational inequality arising in finances. In: 4th ISDG Workshop, pp. 19-21. Goslar, Germany.
    • (2003) 4th ISDG Workshop , pp. 19-21
    • Bernhard, P.1
  • 7
    • 84892194228 scopus 로고    scopus 로고
    • A robust control approach to option pricing including transaction costs
    • A. Nowak ed., Birkhâuser
    • Bernhard, P. (2004). A robust control approach to option pricing including transaction costs. In: A. Nowak (ed.), Annals of the International Society of Dynamic Games, Vol. 7. Birkhâuser.
    • (2004) Annals of the International Society of Dynamic Games , vol.7
    • Bernhard, P.1
  • 10
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81:637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 12
    • 34250147880 scopus 로고
    • On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
    • Capuzzo Dolcetta, I. (1983). On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming. Applied Mathematics and Optimization, 10:367-377.
    • (1983) Applied Mathematics and Optimization , vol.10 , pp. 367-377
    • Capuzzo Dolcetta, I.1
  • 15
    • 0031074611 scopus 로고    scopus 로고
    • A robust control framework for option pricing
    • McEneaney, W. M. (1997). A robust control framework for option pricing. Mathematics of Operations Research, 22:22-221.
    • (1997) Mathematics of Operations Research , vol.22 , pp. 22-221
    • McEneaney, W.M.1
  • 19
    • 13844309256 scopus 로고    scopus 로고
    • Viable capture basin for studying differential and hybrid games
    • Saint-Pierre, P. (2004). Viable capture basin for studying differential and hybrid games. International Game Theory Review, 6:109-136.
    • (2004) International Game Theory Review , vol.6 , pp. 109-136
    • Saint-Pierre, P.1
  • 20
    • 0000724365 scopus 로고
    • There is no nontrivial hedging portfolio for option pricing with transaction costs
    • Soner, H. M., Shreve, S. E., and Cvitanic, J. (1995). There is no nontrivial hedging portfolio for option pricing with transaction costs. The Annals of Applied Probability, 5:327-355.
    • (1995) The Annals of Applied Probability , vol.5 , pp. 327-355
    • Soner, H.M.1    Shreve, S.E.2    Cvitanic, J.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.