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Calendar September 16, 2019 06:42

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

Tag Bellman equation

Tag Dynamic game (DG)

Tag Optimal control

Tag Stochastic volatility (SV)

Tag System dynamic (SD)

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.

 

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Posted September 16, 2019 06:42

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