The \textit{CEV} model and its application in a study of optimal investment strategy
From MaRDI portal
Publication:1718118
DOI10.1155/2014/317071zbMath1407.91239OpenAlexW2082833811WikidataQ59065835 ScholiaQ59065835MaRDI QIDQ1718118
Yang Wang, Ls Yong, Aiyin Wang, Xuanjun Luo
Publication date: 8 February 2019
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/317071
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items
Determining equivalent administrative charges for defined contribution pension plans under CEV model
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
- A variational problem arising in financial economics
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- Optimal portfolios for DC pension plans under a CEV model
- Optimal consumption and portfolio choice with borrowing constraints
- The dynamics of stochastic volatility: evidence from underlying and options markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Optimal investment strategies for the HARA utility under the constant elasticity of variance model
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- The Valuation of American Options for a Class of Diffusion Processes
- An Optimal Investment/Consumption Model with Borrowing
- CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
