Quadratic Hedging and Optimization of Option Exercise Policies.
Nicola SecomandiPublished in: Found. Trends Technol. Inf. Oper. Manag. (2022)
Keyphrases
- option pricing
- optimization algorithm
- machine learning
- optimization process
- optimization strategies
- pairwise
- semidefinite
- dynamic programming
- optimization problems
- optimization method
- constrained optimization
- convex optimization
- management policies
- robust optimization
- quadratic programming
- evolution strategy
- risk management
- optimization methods
- cost function
- evolutionary algorithm
- computational complexity
- objective function
- genetic algorithm