Dynamic hedging of basket options under proportional transaction costs using receding horizon control

International Journal of Control

Volumn 82, Issue 10, 2009, Pages 1841-1855

  Primbs, James A ^a  

^a Stanford University   (United States)

Author keywords

Dynamic hedging, semi definite programming; Model predictive control; Receding horizon control

Indexed keywords

BASKET OPTION; BLACK-SCHOLES; CONSTRAINED STOCHASTIC CONTROL; DYNAMIC HEDGING; DYNAMIC HEDGING, SEMI-DEFINITE PROGRAMMING; FINITE HORIZONS; NUMERICAL EXAMPLE; ONE-DIMENSIONAL; RECEDING HORIZON CONTROL; SEMI-DEFINITE PROGRAMMING; TRANSACTION COST;

CONTROL THEORY; COSTS; NONLINEAR CONTROL SYSTEMS; OPTIMIZATION; PREDICTIVE CONTROL SYSTEMS; STOCHASTIC CONTROL SYSTEMS;

MODEL PREDICTIVE CONTROL;

EID: 68949116039     PISSN: 00207179     EISSN: 13665820     Source Type: Journal    
DOI: 10.1080/00207170902783341     Document Type: Article

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