Portfolio optimization under the stochastic elasticity of variance

DOI10.1142/S021949371350024XzbMath1403.91328OpenAlexW1984617215MaRDI QIDQ5170138

Jeong-Hoon Kim, Sung-Jin Yang, Min-Ku Lee

Publication date: 18 July 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021949371350024x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingportfolio optimizationmultiscalestochastic elasticity of variance

Mathematics Subject Classification ID

Dynamic programming (90C39) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Stochastic elasticity of variance with stochastic interest rates ⋮ Pricing turbo warrants under stochastic elasticity of variance ⋮ Unnamed Item ⋮ Pricing perpetual American options under multiscale stochastic elasticity of variance ⋮ Unnamed Item

Cites Work

• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Optimal portfolios for DC pension plans under a CEV model
• Stochastic optimal control of annuity contracts.
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• Controlled Markov processes and viscosity solutions
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• MEAN-REVERTING STOCHASTIC VOLATILITY
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Stochastic volatility, smile & asymptotics
• Stochastic differential equations. An introduction with applications.

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