Stochastic control approach to derivative pricing and hedging in incomplete markets modeled by general Ito SDE systems: an overview and an application in FX derivatives

Srdjan D. Stojanovic. Stochastic control approach to derivative pricing and hedging in incomplete markets modeled by general Ito SDE systems: an overview and an application in FX derivatives. In American Control Conference, ACC 2007, New York, NY, USA, 9-13 July, 2007. pages 1115-1119, IEEE, 2007. [doi]

Abstract

Abstract is missing.