Zeng, Xudong; Taksar, Michael - In: Quantitative Finance 13 (2013) 10, pp. 1547-1558
In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing the utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model, which is a particular case of...