Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model

DOI10.1016/j.ejor.2019.07.041zbMath1431.91367arXiv1710.10487OpenAlexW2963708379WikidataQ127445118 ScholiaQ127445118MaRDI QIDQ2273896

Harry Zheng, Jingtang Ma, Wen-Yuan Li

Publication date: 18 September 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.10487

zbMATH Keywords

utility maximizationHeston stochastic volatility modeltight lower and upper boundsdual control Monte Carlo methodnon-HARA and Yaari utilities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (3)

Deep learning for constrained utility maximisation ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Near-optimal asset allocation in financial markets with trading constraints

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