Dynamic option hedging with transaction costs: A stochastic model predictive control approach

DOI10.1002/rnc.3915zbMath1426.91275OpenAlexW2751791217MaRDI QIDQ5241794

Laura Puglia, Mogens Graf Plessen, Tommaso Gabbriellini, Alberto Bemporad

Publication date: 1 November 2019

Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/rnc.3915

zbMATH Keywords

stochastic programmingtransaction costsscenario generationfinancial optionsstochastic model predictive controlhedging techniques

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Model predictive control (93B45)

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