Dynamic option hedging via stochastic model predictive control based on scenario simulation (Q5247231)

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scientific article; zbMATH DE number 6429491
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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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