Optimal Execution of Derivatives: A Taylor Expansion Approach

DOI10.1007/978-0-8176-8337-5_9MaRDI QIDQ4593606zbMATH OpenOpenAlexFDO

Authors Gerardo Hernandez-del-Valle, Yuemeng Sun

Publication date 22 November 2017

Published in Optimization, Control, and Applications of Stochastic Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-0-8176-8337-5_9

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(1)

• A discrete-time optimal execution problem with market prices subject to random environments

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