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A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA
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| Journal | SIAM Journal on Financial Mathematics |
|---|---|
| Date | Accepted/In press - 11 Feb 2016 |
| Date | Published (current) - 19 Apr 2016 |
| Issue number | 1 |
| Volume | 7 |
| Pages (from-to) | 159-182 |
| Original language | English |
Abstract
We derive an algorithm in the spirit of Rogers [SIAM J. Control Optim., 46 (2007), pp. 1116--1132] and Davis and Burstein [Stochastics Stochastics Rep., 40 (1992), pp. 203--256] that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon and Henry-Labordère [J. Comput. Finance, 14 (2011), pp. 37--71]. We evaluate our estimates in numerical examples motivated by mathematical finance.
Read More: http://epubs.siam.org/doi/10.1137/15M1019945
Read More: http://epubs.siam.org/doi/10.1137/15M1019945
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© 2016, Society for Industrial and Applied Mathematics. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details
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