Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk.

Thanh Duong Quyen Ho An Tran Minh Tran

Published in: MCO (2) (2015)

Keyphrases

dynamic programming
closed form
probabilistic model
computational model
formal model
portfolio optimization
financial risk
data sets
decision making
objective function
optimal solution
theoretical analysis
non stationary
conceptual model
risk management