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Optimal investment and contingent claim valuation in illiquid markets.

Teemu Pennanen
Published in: Finance Stochastics (2014)
Keyphrases
  • real option
  • real time
  • optimal solution
  • dynamic programming
  • decision making
  • closed form
  • investment strategies
  • feature selection
  • np hard
  • worst case
  • optimal control
  • long run
  • optimal design
  • cost benefit