File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1080/14697688.2020.1736325
- Scopus: eid_2-s2.0-85083588549
- WOS: WOS:000526475000001
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
| Title | Least-squares Monte-Carlo methods for optimal stopping investment under CEV models |
|---|---|
| Authors | |
| Keywords | CEV model Dual control approach Monte-Carlo methods Optimal investment Optimal stopping |
| Issue Date | 2020 |
| Citation | Quantitative Finance, 2020, v. 20, n. 7, p. 1199-1211 How to Cite? |
| Abstract | The optimal stopping investment is a kind of mixed expected utility maximization problems with optimal stopping time. The aim of this paper is to develop the least-squares Monte-Carlo methods to solve the optimal stopping investment under the constant elasticity of variance (CEV) model. Such a problem has no closed-form solutions for the value functions, optimal strategies and optimal exercise boundaries due to the early exercised feature. The dual optimal stopping problem is first derived and then the strong duality between the dual and prime problems is established. The least-squares Monte-Carlo methods based on the dual control theory are developed and numerical simulations are provided. Both the power and non-HARA utilities are studied. |
| Persistent Identifier | http://hdl.handle.net/10722/327713 |
| ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 0.705 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Ma, Jingtang | - |
| dc.contributor.author | Lu, Zhengyang | - |
| dc.contributor.author | Li, Wenyuan | - |
| dc.contributor.author | Xing, Jie | - |
| dc.date.accessioned | 2023-04-24T05:09:26Z | - |
| dc.date.available | 2023-04-24T05:09:26Z | - |
| dc.date.issued | 2020 | - |
| dc.identifier.citation | Quantitative Finance, 2020, v. 20, n. 7, p. 1199-1211 | - |
| dc.identifier.issn | 1469-7688 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/327713 | - |
| dc.description.abstract | The optimal stopping investment is a kind of mixed expected utility maximization problems with optimal stopping time. The aim of this paper is to develop the least-squares Monte-Carlo methods to solve the optimal stopping investment under the constant elasticity of variance (CEV) model. Such a problem has no closed-form solutions for the value functions, optimal strategies and optimal exercise boundaries due to the early exercised feature. The dual optimal stopping problem is first derived and then the strong duality between the dual and prime problems is established. The least-squares Monte-Carlo methods based on the dual control theory are developed and numerical simulations are provided. Both the power and non-HARA utilities are studied. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Quantitative Finance | - |
| dc.subject | CEV model | - |
| dc.subject | Dual control approach | - |
| dc.subject | Monte-Carlo methods | - |
| dc.subject | Optimal investment | - |
| dc.subject | Optimal stopping | - |
| dc.title | Least-squares Monte-Carlo methods for optimal stopping investment under CEV models | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1080/14697688.2020.1736325 | - |
| dc.identifier.scopus | eid_2-s2.0-85083588549 | - |
| dc.identifier.volume | 20 | - |
| dc.identifier.issue | 7 | - |
| dc.identifier.spage | 1199 | - |
| dc.identifier.epage | 1211 | - |
| dc.identifier.eissn | 1469-7696 | - |
| dc.identifier.isi | WOS:000526475000001 | - |