Dynamic option hedging via stochastic model predictive...

Dynamic option hedging via stochastic model predictive control based on scenario simulation

Bemporad, Alberto, Bellucci, Leonardo, Gabbriellini, Tommaso
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Volume:
14
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2011.649780
Date:
October, 2014
File:
PDF, 933 KB
english, 2014
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