Optimal trading of a basket of futures contracts
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Publication:2191860
DOI10.1007/s10436-019-00357-wzbMath1443.91282arXiv1910.04943OpenAlexW2998396803WikidataQ126420540 ScholiaQ126420540MaRDI QIDQ2191860
Publication date: 26 June 2020
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.04943
Derivative securities (option pricing, hedging, etc.) (91G20) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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