Dynamic hedging of basket options under proportional transaction costs using receding horizon control (Q3654580)
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scientific article; zbMATH DE number 5653925
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| English | Dynamic hedging of basket options under proportional transaction costs using receding horizon control |
scientific article; zbMATH DE number 5653925 |
Statements
Dynamic hedging of basket options under proportional transaction costs using receding horizon control (English)
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6 January 2010
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receding horizon control
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model predictive control
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dynamic hedging
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semi-definite programming
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0.8247833251953125
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0.7927001118659973
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0.7878560423851013
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0.7814521193504333
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