3 citations · 3 across the 5 of their papers we have counts for
5 papers
Delta family approach for the stochastic control problems of utility maximization
Jingtang Ma, Zhengyang Lu, Zhenyu Cui
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equati…
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are conti…
Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems
Jingtang Ma, Jie Xing, Harry Zheng
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variatio…
Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model
Jingtang Ma, Wenyuan Li, Harry Zheng
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model wit…
A robust algorithm and convergence analysis for static replications of nonlinear payoffs
Jingtang Ma, Dongya Deng, Harry Zheng
In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of conver…