Pages that link to "Item:Q4409028"

The following pages link to Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028):

Displaying 27 items.

• Optimal strategies for asset allocation and consumption under stochastic volatility (Q274239) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Calculations of greeks for jump diffusion processes (Q493354) (← links)
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
• Utility maximization in models with conditionally independent increments (Q614120) (← links)
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670) (← links)
• Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes (Q1666165) (← links)
• Optimal investment and risk control for an insurer with stochastic factor (Q1728224) (← links)
• HARA frontiers of optimal portfolios in stochastic markets (Q1926829) (← links)
• Consumption-investment problem with pathwise ambiguity under logarithmic utility (Q2323332) (← links)
• Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
• Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (Q2885567) (← links)
• Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
• Optimal portfolio, partial information and Malliavin calculus (Q3396071) (← links)
• Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (Q3552628) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) (← links)
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (Q4825509) (← links)
• Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
• (Q5066183) (← links)
• Stability of Merton's portfolio optimization problem for Lévy models (Q5410812) (← links)
• NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE (Q5455262) (← links)