The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts (Q995510): Difference between revisions

@@ Property / author @@
-Jian-Wu Xiao
@@ Property / author: Jian-Wu Xiao / rank @@
-Normal rank
@@ Property / author @@
-Cheng-Lin Qin
@@ Property / author: Cheng-Lin Qin / rank @@
-Normal rank
@@ Property / author @@
+Jian-Wu Xiao
@@ Property / author: Jian-Wu Xiao / rank @@
+Normal rank
@@ Property / author @@
+Cheng-Lin Qin
@@ Property / author: Cheng-Lin Qin / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2006.04.007
+Normal rank
@@ Property / OpenAlex ID @@
+W1980563255
@@ Property / OpenAlex ID: W1980563255 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility and stock prices: Implications from a production model of asset pricing
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@@ Property / cites work @@
+Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
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@@ Property / cites work @@
+The role of Hellinger processes in mathematical finance
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+A variational problem arising in financial economics
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control of annuity contracts.
@@ Property / cites work: Stochastic optimal control of annuity contracts. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4823125
@@ Property / cites work: Q4823125 / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:995510