Stochastic volatility for utility maximizers : a martingale approach
Year of publication: |
March 2018
|
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Authors: | Ellersgaard, Simon ; Tegnér, Martin |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 1, p. 1-39
|
Subject: | Merton’s portfolio problem | stochastic volatility: Heston model | Martingale approach | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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