Solution of the HJB Equations Involved in Utility-Based Pricing (Q5038268)
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scientific article; zbMATH DE number 7594933
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solution of the HJB Equations Involved in Utility-Based Pricing |
scientific article; zbMATH DE number 7594933 |
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Solution of the HJB Equations Involved in Utility-Based Pricing (English)
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30 September 2022
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utility-based pricing
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portfolio optimization
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risk sensitive control
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stochastic volatility
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