On Optimal Cash Management under a Stochastic Volatility Model

DOI10.4208/eajam.070313.220413azbMath1284.91565OpenAlexW2126245629MaRDI QIDQ5406936

Na Song, Wai-Ki Ching, Cedric Ka Fai Yiu, Tak Kuen Siu

Publication date: 4 April 2014

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9ff1a30986e0e9bef813df4b02db2c6260dc9a09

zbMATH Keywords

dynamic programmingstochastic volatilityHJB equationsoptimal cash management

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Dynamic programming (90C39) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

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