A NOTE ON SD REPRESENTATION OF A SV MODEL WITH DG SOLUTION

This paper studies the optimal control representation of dynamic system of stochastic volatility model and presents a dynamic game solution to the problem. First, the optimal control problem in a SV model, in the form of dynamic system, is presented. Then, it is interpreted as a dynamic game and is solved using Bellman equation. The price model is taken from [1] and the SV model comes from Heston SV model.

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#Bellmanequation #DynamicgameDG #Optimalcontrol #StochasticvolatilitySV #SystemdynamicSD