A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA
Probability
2016-02-12 v2
Abstract
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in the work of Guyon & Henry-Labord\`ere. We evaluate our estimates in numerical examples motivated from mathematical finance.
Keywords
Cite
@article{arxiv.1504.06146,
title = {A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA},
author = {Pierre Henry-Labordère and Christian Litterer and Zhenjie Ren},
journal= {arXiv preprint arXiv:1504.06146},
year = {2016}
}
Comments
21 pages