James A. Primbs. LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs. In American Control Conference, ACC 2010, Baltimore, Maryland, USA, June 30 - July 2, 2010. pages 6891-6896, IEEE, 2010. [doi]
@inproceedings{Primbs10,
title = {LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs},
author = {James A. Primbs},
year = {2010},
doi = {10.1109/ACC.2010.5531435},
url = {https://doi.org/10.1109/ACC.2010.5531435},
researchr = {https://researchr.org/publication/Primbs10},
cites = {0},
citedby = {0},
pages = {6891-6896},
booktitle = {American Control Conference, ACC 2010, Baltimore, Maryland, USA, June 30 - July 2, 2010},
publisher = {IEEE},
isbn = {978-1-4244-7427-1},
}