Dynamic option hedging via stochastic model predictive control based on scenario simulation
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- Comment on “Generating Scenario Trees for Multistage Decision Problems”
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control
- Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
- Financial asset-pricing theory and stochastic programming models for asset/liability management: A synthesis
- Generating scenario trees for multistage decision problems
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- Hedging options under transaction costs and stochastic volatility
- Robust, Optimal Predictive Control of Jump Markov Linear Systems Using Particles
- Stochastic MPC with inequality stability constraints
- Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise
- The explicit linear quadratic regulator for constrained systems
- The pricing of options and corporate liabilities
- Valuing American options by simulation: a simple least-squares approach
Cited in
(9)- Hedging exotic derivatives through stochastic optimization
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- Competitive equilibriums and social shaping for multi-agent systems
- Multi-period portfolio selection with drawdown control
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control
- scientific article; zbMATH DE number 2065145 (Why is no real title available?)
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- Dynamic option hedging with transaction costs: A stochastic model predictive control approach
- A stochastic programming model for currency option hedging
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