Maturity randomization for stochastic control problems

DOI10.1214/105051605000000593zbMath1177.93097arXivmath/0602462OpenAlexW3123158684MaRDI QIDQ2496502

Bruno Bouchard, Nizar Touzi, Nicole El Karoui

Publication date: 10 July 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602462

zbMATH Keywords

optimal stoppingstochastic controluncertain volatility models

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Integral representations of solutions to PDEs (35C15) Actuarial science and mathematical finance (91Gxx)

Related Items (10)

AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Exercisability Randomization of the American Option ⋮ Efficient pricing of swing options in Lévy-driven models ⋮ A Dynkin game with asymmetric information ⋮ Optimal exit strategies for investment projects ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options ⋮ A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

Cites Work

• Optimal stopping and perpetual options for Lévy processes
• Perpetual options and Canadization through fluctuation theory
• Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
• Robustness of the Black and Scholes Formula
• Super-replication in stochastic volatility models under portfolio constraints
• Randomization and the American Put
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