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Approximate Hedging Problem With Transaction Costs In Stochastic Volatility

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Optimization Methods in Finance

Optimization Methods in Finance

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problem is a continuous optimization problem. Of course, some problems may have a mixture of discrete and continuous variables. We continue with a list of problem classes that we will encounter in this book. 1.1 Optimization Problems We start with a generic description of an optimization problem. Given a function f(x) : IRn!

  Finance, Methods, Problem, Optimization, Optimization methods in finance

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