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Super-diffusive noise source in asset dynamics
Hongler, Max-Olivier - In: Journal of mathematical finance 3 (2013) 1, pp. 53-58
Persistent link: https://www.econbiz.de/10010240227
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Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
Ladkau, Marcel - 2015
Persistent link: https://www.econbiz.de/10012385011
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A Dual Algorithm for Stochastic Control Problems : Applications to Uncertain Volatility Models and CVA
Henry-Labordere, Pierre - 2015
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...
Persistent link: https://www.econbiz.de/10013023827
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Boundary evolution equations for American options
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532
Persistent link: https://www.econbiz.de/10010486015
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10000993233
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Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne - In: Journal of mathematical finance 9 (2019) 3, pp. 229-238
Persistent link: https://www.econbiz.de/10012210157
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Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne - In: Inventi impact: microfinance & banking (2019) 4, pp. 225-234
Persistent link: https://www.econbiz.de/10012430848
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Optimal stopping time with stochastic volatility
Zhang, Ran; Xu, Shuang - In: Economic modelling 41 (2014), pp. 319-328
Persistent link: https://www.econbiz.de/10010440735
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
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