Optimal investment with correlated stochastic volatility factors
Year of publication: |
2023
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Authors: | Bichuch, Maxim ; Fouque, Jean-Pierre |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 2, p. 342-369
|
Subject: | asymptotic analysis | optimal investment | stochastic volatility | utility maximization | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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