6 papers · 1 filter
Convergence of Neural Network Policies for Risk--Reward Optimization
Chang Chen, Duy-Minh Dang
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state.…
Numerical analysis of American option pricing in a two-asset jump-diffusion model
Hao Zhou, Duy-Minh Dang
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution fr…
A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
Duy-Minh Dang, Hao Zhou
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman…
A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
Yaowen Lu, Duy-Minh Dang
We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump-diffusions and…
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models
Hanwen Zhang, Duy-Minh Dang
We develop a efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization in realistic contexts, which involve jum…
Fourier Neural Network Approximation of Transition Densities in Finance
Rong Du, Duy-Minh Dang
This paper introduces FourNet, a novel single-layer feed-forward neural network (FFNN) method designed to approximate transition densities for which closed-form expressions of thei…