Work

A stochastic model predictive control approach to dynamic option hedging with transaction costs

Year: 2011

Type: conference-paper

Source: Proceedings of the ... American Control Conference/Proceedings of the American Control Conference

DOI: 10.1109/acc.2011.5991205

Authors: Alberto Bemporad, Laura Puglia, Tommaso Gabbriellini

Institution: University of Trento

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2116768375

FWCI: 15.21

Cites: 17

Cited by: 30

Related to: 10