The paper derives explicit formulae for the superprices of options. These superprices are given as value functions of certain stochastic control problems. The results hold for both finite and infinite dimensional Markovian models. The classical martingale methods have been replaced by a dynamic programming approach.
Tessitore, G., Zabczyk, J. (2002). Pricing options for Markovian models. In R. Buckdahn, H.J. Engelbert, M. Yor (a cura di), Stochastic processes and related topics. Proceedings of the 12th Winter School, Siegmundsburg (Germany), February 27-March 4, 2000 (pp. 249-268). TAYLOR & FRANCIS LTD.
Pricing options for Markovian models
Tessitore, G;
2002
Abstract
The paper derives explicit formulae for the superprices of options. These superprices are given as value functions of certain stochastic control problems. The results hold for both finite and infinite dimensional Markovian models. The classical martingale methods have been replaced by a dynamic programming approach.
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