Pages that link to "Item:Q3654580"
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The following pages link to Dynamic hedging of basket options under proportional transaction costs using receding horizon control (Q3654580):
Displaying 9 items.
- Properties of optimal smooth functions in additive models for hedging multivariate derivatives (Q436951) (← links)
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization (Q490850) (← links)
- Option hedging theory under transaction costs (Q1042722) (← links)
- Optimal hedging of basket barrier options with additive models and its application to equity value separation problem (Q1627805) (← links)
- Model predictive control: recent developments and future promise (Q2342418) (← links)
- On the stability of receding horizon control for continuous-time stochastic systems (Q2440018) (← links)
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance (Q5026618) (← links)
- Dynamic option hedging with transaction costs: A stochastic model predictive control approach (Q5241794) (← links)
- Dynamic option hedging via stochastic model predictive control based on scenario simulation (Q5247231) (← links)
