Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169): Difference between revisions

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scientific article; zbMATH DE number 2237356

Language	Label	Description	Also known as
English	Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility	scientific article; zbMATH DE number 2237356

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instance of

scholarly article

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title

Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (English)

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9 December 2005

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zbMATH Keywords

optimal portfolios

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stochastic volatility

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Heston model

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697680500149503

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cites work

Post-'87 crash fears in the S\&P 500 futures option market

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An optimal consumption model with stochastic volatility

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Q4522707

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A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

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ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET

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Optimum consumption and portfolio rules in a continuous-time model

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An Intertemporal Capital Asset Pricing Model

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Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints

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A decomposition of Bessel Bridges

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Squared Bessel processes and their applications to the square root interest rate model

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A solution approach to valuation with unhedgeable risks

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Identifiers

zbMATH Open document ID

1134.91438

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DOI

10.1080/14697680500149503

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5711169

@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
+Normal rank
@@ Property / cites work @@
+An optimal consumption model with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4522707
@@ Property / cites work: Q4522707 / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
+Normal rank
@@ Property / cites work @@
+A decomposition of Bessel Bridges
@@ Property / cites work: A decomposition of Bessel Bridges / rank @@
+Normal rank
@@ Property / cites work @@
+Squared Bessel processes and their applications to the square root interest rate model
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank