Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191)
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scientific article; zbMATH DE number 5278238
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| English | Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach |
scientific article; zbMATH DE number 5278238 |
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Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (English)
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22 May 2008
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dynamic hedging
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receding horizon control
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stochastic programming
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0.8065551519393921
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0.8051739931106567
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0.8032724261283875
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0.7983480095863342
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0.7982940077781677
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