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Robust Control Approach to Option Pricing, Including Transaction Costs
5 references·5 citing·28 second hop
Robust Control Approach to Option Pricing, Including Transaction Costs (2007)Robust Control Approach to Option Pricing…Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty (2005)Dynamic Management of Portfol…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Differential Games (1994)Differential GamesOption pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Interval Market Model in Mathematical Finance (2012)The Interval Market Model in …Phenomena in Inverse Stackelberg Games, Part 2: Dynamic Problems (2009)Phenomena in Inverse Stackelb…Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm (2007)Robust Control Approach to Op…PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH (2007)PRICING OF RAINBOW OPTIONS: G…The Robust Control Approach to Option Pricing and Interval Models: An Overview (2005)The Robust Control Approach t…Liens entre équations différentielles stochastiques et ordinaires (1977)Arbitrage Theory in Continuous Time (1998)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Investment Under Uncertainty. (1994)Robust hedging of the lookback option (1998)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Liquidity Risk and Arbitrage Pricing Theory (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Investment under Uncertainty (1994)Coherent Measures of Risk (1999)Marktform und Gleichgewicht. (1935)Dynamic Noncooperative Game Theory (1982)Dynamic noncooperative game theory (1995)Phenomena in Inverse Stackelberg Games, Part 1: Static Problems (2009)A Perspective on Incentive Design: Challenges and Opportunities (2018)Selfish Yet Optimal Routing by Adjusting Perceived Traffic Information of Road Networks (2020)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1994Differential Games72 cited
  • 2005Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty50 cited

Cited by

  • 2009Phenomena in Inverse Stackelberg Games, Part 2: Dynamic Problems46 cited
  • 2005The Robust Control Approach to Option Pricing and Interval Models: An Overview35 cited
  • 2012The Interval Market Model in Mathematical Finance30 cited
  • 2007Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm28 cited
  • 2007PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH26 cited

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