Dual Control Monte-Carlo Method for Tight Bounds of Value...

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European Journal of Operational Research 2019 / 7

Dual Control Monte-Carlo Method for Tight Bounds of Value Function under Heston Stochastic Volatility Model

Ma, Jingtang, Li, Wenyuan, Zheng, Harry
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Language:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2019.07.041
Date:
July, 2019
File:
PDF, 1.29 MB
english, 2019
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