Journal: Quantitative Finance

Found 2 papers in total
Enhanced policy iteration for American options via scenario selection
Enhanced policy iteration for American options via scenario selection
2008,
Kolodko & Schoenmakers and Bender & Schoenmakers introduced a policy iteration...
Dynamic hedging of single- and multi-dimensional options with transaction costs: a generalized utility maximization approach
Dynamic hedging of single- and multi-dimensional options with transaction costs: a generalized utility maximization approach
2008,
We propose a new methodology for discrete time dynamic hedging with transaction costs...
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