Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191)

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Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
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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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