Delta hedging in discrete time under stochastic interest rate.

Flavio Angelini Stefano Herzel

Published in: J. Comput. Appl. Math. (2014)

Keyphrases

markov processes
optimal control problems
optimal control
markov chain
stochastic optimization
monte carlo
risk management
decision making
website
bayesian networks
reinforcement learning
stochastic model
state dependent
stochastic programming
option pricing
stochastic nature