A NOTE ON SD REPRESENTATION OF A SV MODEL WITH DG SOLUTION

HABIBI, REZA (2019) A NOTE ON SD REPRESENTATION OF A SV MODEL WITH DG SOLUTION. Asian Journal of Mathematics and Computer Research, 25 (8). pp. 551-556.

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Abstract

This paper studies the optimal control representation of dynamic system of stochastic volatility model and presents a dynamic game solution to the problem. First, the optimal control problem in a SV model, in the form of dynamic system, is presented. Then, it is interpreted as a dynamic game and is solved using Bellman equation. The price model is taken from [1] and the SV model comes from Heston SV model.

Item Type: Article
Subjects: Asian STM > Mathematical Science
Depositing User: Managing Editor
Date Deposited: 11 Jan 2024 04:29
Last Modified: 11 Jan 2024 04:29
URI: http://journal.send2sub.com/id/eprint/2932

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