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An Explicit Solution for Optimal Investment in Heston Model - MaRDI portal

An Explicit Solution for Optimal Investment in Heston Model (Q3178733)

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An Explicit Solution for Optimal Investment in Heston Model
scientific article

    Statements

    title
    An Explicit Solution for Optimal Investment in Heston Model (English)
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    author
    Elena Boguslavskaya
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    Dmitry Muravey
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    publication date
    7 December 2016
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    zbMATH Keywords
    optimal control problem
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    Heston model
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    Whittaker model
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    Identifiers

    Mathematics Subject Classification ID
    35Q91
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    91B30
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    91B70
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    49J20
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    91G80
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    zbMATH DE Number
    6661748
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    arXiv ID
    1505.02431
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