Dynamic option hedging via stochastic model predictive control based on scenario simulation
Bemporad, Alberto, Bellucci, Leonardo, Gabbriellini, TommasoVolume:
14
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2011.649780
Date:
October, 2014
File:
PDF, 933 KB
english, 2014