Optimal Hedging of a Perpetual American Put with a Single Trade.

Cheng Cai Tiziano De Angelis Jan Palczewski

Published in: SIAM J. Financial Math. (2021)

Keyphrases

transaction costs
dynamic programming
optimal control
real time
machine learning
optimal solution
worst case
optimal design
data mining
case study
lower bound
evolutionary algorithm
scheduling problem
asymptotically optimal