Optimal portfolio choice in a jump-diffusion model with self-exciting
Baojun Bian, Xinfu Chen, Xudong Zeng
| Year of publication: |
2019
|
|---|---|
| Authors: | Bian, Baojun ; Chen, Xinfu ; Zeng, Xudong |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 3, p. 345-367
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| Subject: | Portfolio Choice | Jump Diffusion | Stochastic Volatility | Hawkes Process | Self-Exciting Jump | HJB Equation | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.93020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210282