Discrete-time optimal hedging for multi-asset path-dependent European contingent claims

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5399932 ◽

2009 ◽

Author(s):

M. Uday Kumar ◽

Vijaysekhar Chellaboina ◽

Sanjay Bhat ◽

Sandeep Prasad ◽

Anil Bhatia

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Optimal Hedging ◽

Time Optimal ◽

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Discrete-Time Quadratic-Optimal Hedging Strategies for European Contingent Claims

2015 IEEE Symposium Series on Computational Intelligence ◽

10.1109/ssci.2015.249 ◽

2015 ◽

Author(s):

Easwar Subramanian ◽

Sanjay P. Bhat

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Hedging Strategies ◽

Optimal Hedging

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Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924108 ◽

2014 ◽

Author(s):

Easwar Subramanian ◽

Vijaysekhar Chellaboina

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Explicit Solutions ◽

Hedging Strategies ◽

Optimal Hedging

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Optimal hedging of path-dependent options in discrete time incomplete market

Communications on Stochastic Analysis ◽

10.31390/cosa.2.3.10 ◽

2008 ◽

Vol 2 (3) ◽

Author(s):

Norman Josephy ◽

Lucy Kimball ◽

Victoria Steblovskaya

Keyword(s):

Discrete Time ◽

Incomplete Market ◽

Optimal Hedging ◽

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Discrete-Time Quadratic-Optimal Hedging for European Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.2631004 ◽

2015 ◽

Author(s):

Easwar Subramanian ◽

Sanjay P. Bhat

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Optimal Hedging

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Asymptotic Synthesis of Contingent Claims in a Sequence of Discrete-Time Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3402645 ◽

2019 ◽

Author(s):

David M. Kreps ◽

W. Schachermayer

Keyword(s):

Discrete Time ◽

Contingent Claims

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A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

Bernoulli ◽

10.3150/bj/1072215199 ◽

2003 ◽

Vol 9 (6) ◽

pp. 1003-1049 ◽

Author(s):

Vlad Bally ◽

Gilles Pagès

Keyword(s):

Discrete Time ◽

Optimal Stopping ◽

Time Optimal ◽

Optimal Stopping Problems

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On properties and applications of a new form of discrete time optimal control law

Conference Record of the 2004 IEEE Industry Applications Conference, 2004. 39th IAS Annual Meeting. ◽

10.1109/ias.2004.1348671 ◽

2004 ◽

Author(s):

Zhiqiang Gao ◽

Shaohua Hu

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Time Optimal Control ◽

Control Law ◽

Time Optimal ◽

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An Accelerator for Packages Solving Discrete-Time Optimal Control Problems

IFAC Proceedings Volumes ◽

10.3182/20080706-5-kr-1001.02422 ◽

2008 ◽

Vol 41 (2) ◽

pp. 14295-14300 ◽

Author(s):

Hoam Chung ◽

Elijah Polak ◽

Shankar Sastry

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Optimal Control Problems ◽

Time Optimal Control ◽

Control Problems ◽

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Discrete-time optimal feedback control via Hamilton-Jacobi theory with an application to hybrid systems

2012 IEEE 51st IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2012.6426320 ◽

2012 ◽

Author(s):

Taeyoung Lee

Keyword(s):

Feedback Control ◽

Hybrid Systems ◽

Discrete Time ◽

Optimal Feedback Control ◽

Optimal Feedback ◽

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A decomposition technique for discrete time optimal control problems with an application to water resources management

Mathematical and Computer Modelling ◽

10.1016/0895-7177(90)90115-4 ◽

1990 ◽

Vol 13 (1) ◽

pp. 61-78 ◽

Author(s):

T.A. Edmunds ◽

J.F. Bard

Keyword(s):

Optimal Control ◽

Water Resources ◽

Water Resources Management ◽

Discrete Time ◽

Optimal Control Problems ◽

Time Optimal Control ◽

Control Problems ◽

Decomposition Technique ◽

Resources Management ◽

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