A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL

DOI10.1017/S1446181116000171zbMath1373.60142MaRDI QIDQ5369467

Moawia Alghalith

Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityHamilton-Jacobi-Bellman equationspartial differential equationsviscosity solutionsjump diffusion

Mathematics Subject Classification ID

Related Items (1)

Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods

Cites Work

• Optimality conditions for optimal control of jump-diffusion SDEs with correlated observations noises
• Portfolio choice with jumps: a closed-form solution
• Portfolio selection: a review
• Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
• Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients

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