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We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...
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This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an … asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance … tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to …
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