A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA

Pierre Henry-Labordère; Christian Litterer; Zhenjie Ren

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arXiv · 1504.06146

A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA

Pierre Henry-Labordère·Christian Litterer·Zhenjie Ren

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Abstract

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in the work of Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical finance.

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Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren. 2016-02-11. A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA. https://arxiv.org/abs/1504.06146

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