Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028)
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scientific article; zbMATH DE number 1941964
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type |
scientific article; zbMATH DE number 1941964 |
Statements
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (English)
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25 August 2003
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stochastic volatility
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dynamic programming
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Feynman-Kac
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trading strategy
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