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

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.

Please read full article : - www.ikprress.org

Posted September 16, 2019 06:42