A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment (Q6149349)
From MaRDI portal
scientific article; zbMATH DE number 7799987
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment |
scientific article; zbMATH DE number 7799987 |
Statements
A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment (English)
0 references
5 February 2024
0 references
smooth ambiguity utility
0 references
Heston local-stochastic volatility model
0 references
perturbation method
0 references
investment and reinsurance
0 references
defaultable bond
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
