Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon (Q4614937): Difference between revisions

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+The Jacobi stochastic volatility model
@@ Property / cites work: The Jacobi stochastic volatility model / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
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+European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
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@@ Property / cites work @@
+Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
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+Q4219085
@@ Property / cites work: Q4219085 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
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+https://doi.org/10.1137/18m1208459
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+W3121924014
@@ Property / OpenAlex ID: W3121924014 / rank @@
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+Publication:4614937