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Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Hongler, Max-Olivier - In: Journal of mathematical finance 3 (2013) 1, pp. 53-58

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Aktar, Yalçin; Taflin, Erik - In: Mathematics and financial economics 8 (2014) 4, pp. 489-509

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Han, Bingyan; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 3, pp. 481-500

Persistent link: https://www.econbiz.de/10013167772

Yang, Shuzhen - 2014

In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard …

Persistent link: https://www.econbiz.de/10013048206

Henry-Labordere, Pierre - 2015

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control …

Persistent link: https://www.econbiz.de/10013023827

Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57

Persistent link: https://www.econbiz.de/10012111259

Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10

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Aït-Sahalia, Yacine; Sağlam, Mehmet - In: Journal of econometrics 239 (2024) 2, pp. 1-29

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Dai, Min - 2012

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover …

Persistent link: https://www.econbiz.de/10013110342