Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
Jingtang Ma, Wenyuan Li, Harry Zheng
| Year of publication: |
2020
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|---|---|
| Authors: | Ma, Jingtang ; Li, Wenyuan ; Zheng, Harry |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 280.2020, 2 (16.1.), p. 428-440
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| Subject: | Dual control Monte-Carlo method | Heston stochastic volatility model | Non-HARA and Yaari utilities, | Tight lower and upper bounds | Utility maximization | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.07.041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012132415