Optimal Execution of Derivatives: A Taylor Expansion Approach

DOI10.1007/978-0-8176-8337-5_9zbMath1376.91159OpenAlexW169170826MaRDI QIDQ4593606

Yuemeng Sun, Gerardo Hernandez-del-Valle

Publication date: 22 November 2017

Published in: Optimization, Control, and Applications of Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-8176-8337-5_9

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A discrete-time optimal execution problem with market prices subject to random environments

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