Optimal control of option portfolios and applications (Q1283714)

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scientific article
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English
Optimal control of option portfolios and applications
scientific article

    Statements

    title
    Optimal control of option portfolios and applications (English)
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    author
    Ralf Korn
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    Siegfried Trautmann
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    published in
    OR Spektrum
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    publication date
    30 June 1999
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    zbMATH Keywords
    portfolio optimisation
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    continuous trading
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    option pricing
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    complete markets
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    trading constraints
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    Identifiers

    zbMATH DE Number
    1270996
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    OpenAlex ID
    W3122990263
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    DOI
    10.1007/S002910050084
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