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
stochastic programmingtransaction costsscenario generationfinancial optionsstochastic model predictive controlhedging techniques
Stochastic programming (90C15) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Model predictive control (93B45)
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