Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/090773647
Reference16 articles.
1. Coherent Measures of Risk
2. Pricing and hedging derivative securities in markets with uncertain volatilities
3. Hedging and Portfolio Optimization in Financial Markets with a Large Trader
4. Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
5. Liquidity risk and arbitrage pricing theory
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