A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716)
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scientific article; zbMATH DE number 7640833
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility |
scientific article; zbMATH DE number 7640833 |
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A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (English)
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11 January 2023
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HLSV model
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dual method
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Legendre transformation
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asymptotic expansion technique
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