Hedging without sweat: a genetic programming approach
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References listed on IDEAS
- Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
- Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29.
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- Palczewski, Jan & Poulsen, Rolf & Schenk-Hoppé, Klaus Reiner & Wang, Huamao, 2015. "Dynamic portfolio optimization with transaction costs and state-dependent drift," European Journal of Operational Research, Elsevier, vol. 243(3), pages 921-931.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
- NEP-CMP-2013-06-04 (Computational Economics)
- NEP-RMG-2013-06-04 (Risk Management)
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