"A stochastic model predictive control approach to dynamic option hedging ..."

Alberto Bemporad, Laura Puglia, Tommaso Gabbriellini (2011)

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DOI: 10.1109/ACC.2011.5991205

access: closed

type: Conference or Workshop Paper

metadata version: 2022-06-08

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Alberto Bemporad, Laura Puglia, Tommaso Gabbriellini:
A stochastic model predictive control approach to dynamic option hedging with transaction costs. ACC 2011: 3862-3867

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