Dynamic hedging of basket options under proportional transaction costs using receding horizon control (Q3654580)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic hedging of basket options under proportional transaction costs using receding horizon control |
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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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