Bemporad, Alberto and Gabbriellini, Tommaso and Puglia, Laura and Bellucci, Leonardo
Scenario-based stochastic model predictive control for dynamic option hedging.
In:
Decision and Control Conference.
IEEE, Hilton Atlanta Hotel, Atlanta, December 15-17, 2010, 6089 -6094.
ISBN 978-1-4244-7745-6
(2010)