Dynamic hedging of single and multi-dimensional options with transaction costs: A generalized utility maximization approach

Quantitative Finance

Volumn 8, Issue 3, 2008, Pages 299-312

  Meindl, Peter J ^a   Primbs, James A ^a  

^a Stanford University   (United States)

Author keywords

Dynamic hedging; Receding horizon control; Stochastic programming

Indexed keywords

EID: 41549114183     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701381210     Document Type: Article

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