A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA

preprint2016arXivOpen access

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-Labordère. We evaluate our estimates in numerical examples motivated from mathematical finance.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Reviews 0

Write a reviewWrite

No reviews yet.

Discussion 0

Add a commentWrite

No comments yet.