Discrete-Time Quadratic-Optimal Hedging Strategies for European Contingent Claims.

Easwar Subramanian Sanjay P. Bhat

Published in: SSCI (2015)

Keyphrases

optimal strategy
optimal solution
dynamic programming
closed form
optimal control
real time
markov chain
optimal design
markov processes
optimal linear
objective function
computational complexity
risk management
asymptotically optimal
optimal stopping