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Discrete-time optimal hedging for multi-asset path-dependent European contingent claims.
M. Uday Kumar
VijaySekhar Chellaboina
Sanjay P. Bhat
Sandeep Prasad
Anil Bhatia
Published in:
CDC (2009)
Keyphrases
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optimal path
financial markets
optimal solution
markov chain
optimal control
minimum cost
optimal design
worst case
transaction costs
information retrieval
genetic algorithm
data structure
shortest path
health care
optimal stopping