UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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Publication:3580219
DOI10.1142/S0219024910005851zbMath1198.91192arXiv0911.3608MaRDI QIDQ3580219
Jan Kallsen, Johannes Muhle-Karbe
Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.3608
Utility theory (91B16) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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