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Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?

Faria, Gonçalo; Correira-da-Silva, João - In: The European journal of finance 22 (2016) 7/9, pp. 601-626

Persistent link: https://www.econbiz.de/10011619083

Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83

Persistent link: https://www.econbiz.de/10011872914

Robust control and CAPMs under a quadratic model with inflation-deflation risk

Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024

Persistent link: https://www.econbiz.de/10014549675

Robust product Markovian quantization

Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78

Persistent link: https://www.econbiz.de/10014546287

Robust consumption and portfolio choice with derivatives trading

Wei, Pengyu; Yang, Charles; Zhuang, Yi - In: European journal of operational research : EJOR 304 (2023) 2, pp. 832-850

Persistent link: https://www.econbiz.de/10013534570

Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion

Graf, Ferdinand - 2007

The paper Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion aims on extending the restrictive Black-Scholes model by allowing volatility to evolve randomly. These models are used to price exotic derivatives and certificates. The first stochastic...

Persistent link: https://www.econbiz.de/10009471784