Dynamic option hedging via stochastic model predictive control based on scenario simulation (Q5247231)
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scientific article; zbMATH DE number 6429491
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic option hedging via stochastic model predictive control based on scenario simulation |
scientific article; zbMATH DE number 6429491 |
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Dynamic option hedging via stochastic model predictive control based on scenario simulation (English)
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23 April 2015
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financial options
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hedging techniques
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stochastic control
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stochastic programming
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dynamical systems
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exotic options
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