A monotone piecewise constant control integration approach for the two-factor uncertain volatility model

By Duy-Minh Dang, Hao Zhou

Published 2024-02-28

Everscope rating

1443.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Monotone Piecewise Constant Control Integration (MPCCI). Problem types: Option Pricing, Numerical PDE Solving.

arXiv:2402.06840 · Paper rankings

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