A stochastic model predictive control approach to dynamic option hedging with transaction costs - researchr publication authors

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Alberto Bemporad, Laura Puglia, Tommaso Gabbriellini. A stochastic model predictive control approach to dynamic option hedging with transaction costs. In American Control Conference, ACC 2011, San Francisco, CA, USA, June 29 - July 1, 2011. pages 3862-3867, IEEE, 2011. [doi]

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