6 papers
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
Abigail Anokyewaa Mensah, Ayush Jha, Hongwei Mei +3
We develop a partial integro-differential equation (PIDE) framework for option pricing under joint stochastic volatility and jump dynamics, and evaluate its empirical content using…
Turnpike Property of Mean-Field Linear-Quadratic Optimal Control Problems in Infinite-Horizon with Regime Switching
Hongwei Mei, Svetlozar Rachev, Rui Wang
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizon…
Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the larg…
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the larg…
Infinite Horizon Mean-Field Linear-Quadratic Optimal Control Problems with Switching and Indefinite-Weighted Costs
Hongwei Mei, Rui Wang, Qingmeng Wei +1
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment.…
Linear-Quadratic Optimal Control for Mean-Field Stochastic Differential Equations in Infinite-Horizon with Regime Switching
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime envi…