Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility-Reference-Cited by-同舟云学术

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Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Pun Chi Seng,Gupta Rachana

Publisher

Elsevier BV

Reference41 articles.

1. American options under stochastic volatility: Control variates, 656 maturity randomization & multiscale asymptotics;A Agarwal;Quantitative Finance,2016

2. Range-based estimation of stochastic volatility 659 models;S Alizadeh;The Journal of Finance,2002

3. Estimating continuous-time stochastic volatility models of the short-663 term interest rate;T G Andersen;Journal of Econometrics,1997

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robust classical-impulse stochastic control problems in an infinite horizon;Mathematical Methods of Operations Research;2022-08-24

2. Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint;Automatica;2022-01

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