Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
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Publication:3502191
DOI10.1080/14697680701381210zbMath1134.91367OpenAlexW2008421072MaRDI QIDQ3502191
James A. Primbs, Peter J. Meindl
Publication date: 22 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701381210
Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (5)
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints ⋮ A stochastic receding horizon control approach to constrained index tracking ⋮ Multi-period portfolio selection with drawdown control ⋮ Dynamic hedging of basket options under proportional transaction costs using receding horizon control ⋮ Dynamic option hedging via stochastic model predictive control based on scenario simulation
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