On stochastic optimal control for stock price volatility
Ying Yi‐rong
(Aetna Management School, Shanghai Jiao Tong University, Shanghai, People's Republic of China)
Lin Yi
(Mathematics Department, Slippery Rock University, Vincent Science Hall, USA)
Wu Chong‐feng
(Aetna Management School, Shanghai Jiao Tong University, Shanghai, People's Republic of China)
657
Abstract
The dynamic measure of risk problem in a incomplete market is discussed when stock appreciation rates are uncertain. Meanwhile, a related stochastic game problem is studied. The value of a stochastic optimal control is regarded as a reasonable measure of the risk. The form of the optimal objective is obtained by employing the tools of BSDE theory.
Keywords
Citation
Yi‐rong, Y., Yi, L. and Chong‐feng, W. (2003), "On stochastic optimal control for stock price volatility", Kybernetes, Vol. 32 No. 5/6, pp. 898-904. https://doi.org/10.1108/03684920210443978
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited