Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims.
Easwar SubramanianVijaySekhar ChellaboinaPublished in: CIFEr (2014)
Keyphrases
- optimal solution
- optimal strategy
- objective function
- optimal stopping
- dynamic programming
- optimal or near optimal
- optimal control
- pareto optimal
- neural network
- european project
- control strategies
- optimal design
- worst case
- computational complexity
- pairwise
- solution quality
- closed form
- exchange rate
- cost effectiveness
- optimization strategies
- decision problems
- markov chain