Continuous and Discrete-Time Option Pricing and Interval Market Model

Author:

Bernhard Pierre,Engwerda Jacob C.,Roorda Berend,Schumacher J. M.,Kolokoltsov Vassili,Saint-Pierre Patrick,Aubin Jean-Pierre

Publisher

Springer New York

Reference149 articles.

1. Ahn, H., Dayal, M., Grannan, E., Swindle, G.: Option replication with transaction costs: general diffusion limits. Ann. Appl. Probab. 8, 676–707 (1998)

2. Artzner, P., Delbaen, F., Eber, J.M., Heath, D.: Coherent measures of risk. Math. Finance 9, 203–228 (1999)

3. Aubin, J.P.: Contingent derivatives of set-valued maps and existence of solutions to nonlinear inclusions and differential inclusions. In: Nachbin, L. (ed.) Mathematical Analysis and Applications, Advances in Mathematics, vol. 7a, pp. 159–229 (1981)

4. Aubin, J.P.: Viability Theory. Birkhaüser, Boston (1991)

5. Aubin, J.P.: Dynamic Economic Theory: A Viability Approach. Springer, Berlin (1997)

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