Login / Signup

A stochastic model predictive control approach to dynamic option hedging with transaction costs.

Alberto BemporadLaura PugliaTommaso Gabbriellini
Published in: ACC (2011)
Keyphrases
  • transaction costs
  • model predictive control
  • option pricing
  • control system
  • predictive control
  • stock exchange
  • portfolio management
  • artificial neural networks
  • genetic algorithm
  • long term
  • portfolio selection