Influence of risk tolerance on long-term investments: a Malliavin calculus approach
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Publication:5041049
DOI10.1080/17442508.2021.2011891zbMath1498.60333arXiv2104.00911OpenAlexW3150778667WikidataQ114010500 ScholiaQ114010500MaRDI QIDQ5041049
Publication date: 18 October 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.00911
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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