Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm

✍ Scribed by Bernhard, Pierre; El Farouq, Naïma; Thiery, Stéphane

• Book ID: 118205601
• Publisher: Society for Industrial and Applied Mathematics
• Year: 2007
• Tongue: English
• Weight: 271 KB
• Volume: 46
• Category: Article
• ISSN: 0363-0129
• DOI: 10.1137/050626016