Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach |
scientific article |
Statements
Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (English)
0 references
22 May 2008
0 references
dynamic hedging
0 references
receding horizon control
0 references
stochastic programming
0 references
0 references
0 references
0 references
