Dynamic hedging of basket options under proportional transaction costs using receding horizon control
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Publication:3654580
DOI10.1080/00207170902783341zbMath1178.93052OpenAlexW2018339765MaRDI QIDQ3654580
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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Related Items (8)
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 ⋮ On the stability of receding horizon control for continuous-time stochastic systems ⋮ Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization ⋮ Option hedging theory under transaction costs ⋮ Dynamic option hedging via stochastic model predictive control based on scenario simulation ⋮ Model predictive control: recent developments and future promise ⋮ Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
Uses Software
Cites Work
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