Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type |
scientific article; zbMATH DE number 1941964
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type |
scientific article; zbMATH DE number 1941964 |
Statements
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (English)
0 references
25 August 2003
0 references
stochastic volatility
0 references
dynamic programming
0 references
Feynman-Kac
0 references
trading strategy
0 references
0 references
0 references
0 references
0 references
0.8183043003082275
0 references
0.804470419883728
0 references
0.8041474223136902
0 references
0.8036283850669861
0 references
0.8010726571083069
0 references
