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"Dynamic hedging of basket options under proportional transaction costs ..."

James A. Primbs (2009)

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DOI: 10.1080/00207170902783341

access: closed

type: Journal Article

metadata version: 2017-05-17

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James A. Primbs:
Dynamic hedging of basket options under proportional transaction costs using receding horizon control. Int. J. Control 82(10): 1841-1855 (2009)

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