Optimization of European double-barrier options via optimal control of the black-scholes-equation
Year of publication: |
2002
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Authors: | Breitner, Michael H. ; Burmester, Tobias |
Published in: |
Operations research proceedings 2001 : selected papers of the International Conference on Operations Research (OR 2001) ; Duisburg, September 3-5, 2001 ; with 38 tables. - Berlin : Springer, ISBN 3-540-43344-9. - 2002, p. 167-174
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Subject: | Index-Futures | Index futures | Hedging | Strategie | Strategy | Black-Scholes-Modell | Black-Scholes model | Kontrolltheorie | Control theory | Theorie | Theory |
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