Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
Year of publication: |
2008
|
---|---|
Authors: | Meindl, Peter ; Primbs, James |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 8.2008, 3, p. 299-312
|
Publisher: |
Taylor & Francis Journals |
Subject: | Dynamic hedging | Receding horizon control | Stochastic programming |
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