Robust control approach to option pricing, including transaction costs

Annals of the International Society of Dynamic Games

Volumn 7, Issue , 2005, Pages 391-416

  Bernhard, Pierre ^a  

^a UNIVERSITÉ CÔTE D'AZUR   (France)

Author keywords

Differential game; Option price; Trading cost; Trading strategy; Transaction cost

Indexed keywords

EID: 84892194228     PISSN: 24740179     EISSN: 24740187     Source Type: Book Series    
DOI: 10.1007/0-8176-4429-6_22     Document Type: Chapter

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