PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL (Q4593282)
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scientific article; zbMATH DE number 6810978
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL |
scientific article; zbMATH DE number 6810978 |
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PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL (English)
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22 November 2017
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multi-scale Heston's model
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HARA utility function
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optimal investment strategy
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practical strategy
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