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A stochastic model predictive control approach to dynamic option hedging with transaction costs

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
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1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
2009Dynamic hedging of basket options under proportional transaction costs using receding horizon control54 cited
2003Hedging options under transaction costs and stochastic volatility33 cited

Cited by

2012Dynamic option hedging via stochastic model predictive control based on scenario simulation28 cited
2017Pairs trading under transaction costs using model predictive control24 cited

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