Robust control approach to option pricing , including transaction costs

@inproceedings{Bernhard2004RobustCA,
  title={Robust control approach to option pricing , including transaction costs},
  author={Pierre Bernhard},
  year={2004}
}
We adopt the robust control, or game theoretic, approach of [5] to option pricing. In this approach, uncertainty is described by a restricted set of possible price trajectories, without endowing this set with any probability measure. We seek a hedge against every possible price trajectory. In the absence of transaction costs, the continuous trading theory… CONTINUE READING