Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE

DOI10.1137/S0363012903421170zbMath1101.93088OpenAlexW2011234554MaRDI QIDQ4652576

Srdjan D. Stojanovic

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012903421170

zbMATH Keywords

dynamic programmingstochastic controlhypoellipticityMerton's problemoptional hedging

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Hypoelliptic equations (35H10)

Related Items (6)

A least-squares/relaxation method for the numerical solution of the three-dimensional elliptic Monge-Ampère equation ⋮ Optimal Closing of a Momentum Trade ⋮ Neutral and indifference pricing with stochastic correlation and volatility ⋮ Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems ⋮ A Second Order Time Integration Method for the Approximation of a Parabolic 2D Monge-Ampère Equation ⋮ Risk premium and fair option prices under stochastic volatility: the HARA solution.

Uses Software

• Mathematica

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