Closed-form optimal strategies of continuous-time options with stochastic differential equations

DOI10.1155/2017/8734235zbMath1373.93388OpenAlexW2729850364WikidataQ59142957 ScholiaQ59142957MaRDI QIDQ1674900

Wei Yan

Publication date: 26 October 2017

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/8734235

zbMATH Keywords

Hamilton-Jacobi-Bellman (HJB) equationcontinuous-time portfolio selectioncontinuous-time mathematical model with stochastic differential equationsoptimal investment-consumption problemrisk aversion utility function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Optimal investment with derivatives and pricing in an incomplete market

Cites Work

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