A new stochastic factor model: general explicit solutions

DOI10.1016/J.AML.2009.07.011MaRDI QIDQ847280zbMATH OpenOpenAlexFDO

Authors Moawia Alghalith

Publication date 12 February 2010

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2009.07.011

zbMATH Keywords

optimizationportfolioinvestmentstochastic factor

Mathematics Subject Classification ID

Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites work

• scientific article; zbMATH DE number 2133110 (Why is no real title available?)
• scientific article; zbMATH DE number 5499205 (Why is no real title available?)
• Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
• Utility valuation of credit derivatives: single and two-name cases

Cited in

(6)

• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
• Forward dynamic utility functions: a new model and new results
• scientific article; zbMATH DE number 6976394 (Why is no real title available?)
• A new approach to stochastic optimization
• Pricing the American options using the Black-Scholes pricing formula

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