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