Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random.
Ronnie SircarThaleia ZariphopoulouPublished in: SIAM J. Control. Optim. (2004)
Keyphrases
- closed form expressions
- worst case
- central limit theorem
- finite sample
- large deviations
- rates of convergence
- upper bound
- approximation methods
- error bounds
- lower bound
- utility function
- asymptotic optimality
- closed form
- asymptotically optimal
- heavy tailed
- long run
- expected values
- stock index futures
- stage stochastic programs
- dynamic pricing
- expected utility
- upper and lower bounds
- lower and upper bounds
- stock price
- stock market
- sample size
- np hard
- learning algorithm