Optimization of covered calls under uncertainty (Q2218910)
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scientific article; zbMATH DE number 7297606
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimization of covered calls under uncertainty |
scientific article; zbMATH DE number 7297606 |
Statements
Optimization of covered calls under uncertainty (English)
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18 January 2021
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covered call
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options
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portfolio optimization
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utility optimization
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stochastic programming
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progressive hedging
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0.8589168190956116
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0.7399092316627502
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0.7198189496994019
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0.7108034491539001
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0.7057687044143677
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