Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation-Reference-Cited by-同舟云学术

Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation

Published:2012-09-26 Issue:1 Volume:17 Page:31-72
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Bouchard Bruno,Dang Ngoc-Minh

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00780-012-0198-8.pdf

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5. Bertsimas, D., Lo, A.W., Hummel, P.: Optimal control of execution costs for portfolios. Comput. Sci. Eng. 1, 40–53 (1999)

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