Optimal Discretization of Hedging Strategies with Directional Views.

Jiatu Cai Masaaki Fukasawa Mathieu Rosenbaum Peter Tankov

Published in: SIAM J. Financial Math. (2016)

Keyphrases

optimal strategy
multiple views
optimal solution
multiscale
optimal control
single view
database
data sets
worst case
multi view
preprocessing
multiresolution
dynamic programming
discretization method