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Scenario-based stochastic model predictive control for dynamic option hedging.

Alberto BemporadTommaso GabbrielliniLaura PugliaLeonardo Bellucci
Published in: CDC (2010)
Keyphrases
  • model predictive control
  • predictive control
  • control system
  • dynamic environments
  • real time
  • neural network
  • dynamic programming
  • support vector machine
  • option pricing