"LQR and receding horizon approaches to multi-dimensional option hedging ..."

James A. Primbs (2010)

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DOI: 10.1109/ACC.2010.5531435

access: closed

type: Conference or Workshop Paper

metadata version: 2022-06-23

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James A. Primbs:
LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs. ACC 2010: 6891-6896

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