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Optimal Hedging Under Fast-Varying Stochastic Volatility.
Josselin Garnier
Knut Sølna
Published in:
SIAM J. Financial Math. (2020)
Keyphrases
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financial markets
optimal solution
optimal stopping
exchange rate
worst case
optimal control
stock price
optimal design
locally optimal
multistage
optimal strategy
learning automata
stochastic dynamic programming