A Stochastic Control Approach to the Pricing of Options.

Emmanuel Nicholas Barron Robert Jensen

Published in: Math. Oper. Res. (1990)

Keyphrases

stochastic control
option pricing
black scholes model
queueing systems
optimal control
control problems
operations management
brownian motion
dynamic programming
reinforcement learning
special case
supervised learning
non stationary
differential equations
arrival rate
stochastic process