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Generalized stochastic target problems for pricing and partial hedging under loss constraints - application in optimal book liquidation.
Bruno Bouchard
Ngoc-Minh Dang
Published in:
Finance Stochastics (2013)
Keyphrases
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optimization problems
decision problems
financial markets
stochastic dynamic programming
stochastic programming problems
optimal solution
optimal control
convertible bonds
dynamic programming
markov decision processes
book presents
decision variables
option pricing
approximation schemes