Dynamic portfolio strategies under a fully correlated jump-diffusion process
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Publication:2334411
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- scientific article; zbMATH DE number 1487901
Cites work
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Exponential moments of affine processes
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- Optimal investment under multi-factor stochastic volatility
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal portfolios when variances and covariances can jump
- Option pricing when underlying stock returns are discontinuous
- Robust portfolio choice with stochastic interest rates
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
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