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

Main Article Content

REZA HABIBI

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. 

Keywords:
Bellman equation, Dynamic game (DG), Optimal control, Stochastic volatility (SV), System dynamic (SD)

Article Details

How to Cite
HABIBI, R. (2019). A NOTE ON SD REPRESENTATION OF A SV MODEL WITH DG SOLUTION. Asian Journal of Mathematics and Computer Research, 25(8), 551-556. Retrieved from http://ikpress.org/index.php/AJOMCOR/article/view/4433
Section
Short Research Article