Dynamic option hedging with transaction costs: A stochastic model predictive control approach (Q5241794)
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scientific article; zbMATH DE number 7125466
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic option hedging with transaction costs: A stochastic model predictive control approach |
scientific article; zbMATH DE number 7125466 |
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Dynamic option hedging with transaction costs: A stochastic model predictive control approach (English)
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1 November 2019
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financial options
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hedging techniques
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scenario generation
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stochastic model predictive control
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stochastic programming
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transaction costs
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