A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk

DOI10.1016/j.amc.2022.127808OpenAlexW4313638445MaRDI QIDQ2698069

Bahareh Afhami, Mohsen Rezapour, Vahed Maroufy, Mohsen Madadi

Publication date: 21 April 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127808

Mathematics Subject Classification ID

Statistics (62-XX)

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