Dynamic hedging of basket options under proportional transaction costs using receding horizon control
DOI10.1080/00207170902783341zbMATH Open1178.93052OpenAlexW2018339765MaRDI QIDQ3654580FDOQ3654580
Authors: James A. Primbs 
Publication date: 6 January 2010
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207170902783341
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Derivative securities (option pricing, hedging, etc.) (91G20) Semidefinite programming (90C22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic systems in control theory (general) (93E03)
Cites Work
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- On Leland's strategy of option pricing with transactions costs
- Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
- Solving ALM problems via sequential stochastic programming
- Pricing a European Basket Option in the Presence of Proportional Transaction Costs
- Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
Cited In (10)
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- Optimal control of European double barrier basket options
- Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
- Properties of optimal smooth functions in additive models for hedging multivariate derivatives
- Dynamic option hedging with transaction costs: A stochastic model predictive control approach
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Model predictive control: recent developments and future promise
- On the stability of receding horizon control for continuous-time stochastic systems
- Option hedging theory under transaction costs
- Dynamic option hedging via stochastic model predictive control based on scenario simulation
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