Maturity randomization for stochastic control problems - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2004

Maturity randomization for stochastic control problems

Résumé

We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which converges to the original one. This is a generalization of the so-called {\it Canadization} procedure suggested by P. Carr in [2] for the fast computation of American put option prices. In addition to the original application of this technique to optimal stopping problems, we provide an application to another problem in finance, namely the super-replication problem under stochastic volatility, and we show that the approximating value functions can be computed explicitly.
Fichier principal
Vignette du fichier
PMA-929.pdf (352.02 Ko) Télécharger le fichier
Loading...

Dates et versions

hal-00002979 , version 1 (29-09-2004)

Identifiants

  • HAL Id : hal-00002979 , version 1

Citer

Bruno Bouchard, Nicole El Karoui, Nizar Touzi. Maturity randomization for stochastic control problems. 2004. ⟨hal-00002979⟩
242 Consultations
89 Téléchargements

Partager

Gmail Facebook X LinkedIn More