A NOTE ON SD REPRESENTATION OF A SV MODEL WITH DG SOLUTION |Asian Journal of Mathematics

The optimal control representation of a dynamic system in a stochastic volatility model is investigated in this research, and a dynamic game solution is shown. The optimal control problem in an SV model is first provided in the form of a dynamic system. Then it's read as a dynamic game, and the Bellman equation is used to solve it. The pricing model is based on [1], while the SV model is based on Heston's SV model.

Please see the link :- https://www.ikprress.org/index.php/AJOMCOR/article/view/4433