Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896)
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| Language | Label | Description | Also known as |
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| English | Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model |
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Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (English)
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18 September 2019
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utility maximization
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Heston stochastic volatility model
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dual control Monte Carlo method
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tight lower and upper bounds
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non-HARA and Yaari utilities
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