2 papers
q-fin.PR2025
On short-time behavior of implied volatility in a market model with indexes
Huy N. Chau, Duy Nguyen, Thai Nguyen
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking p…
q-fin.MF2024
Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach
Huy Chau, Duy Nguyen, Thai Nguyen
In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that incl…