Exact solutions and approximations for optimal investment strategies and indifference prices
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Publication:5080130
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Cites work
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- scientific article; zbMATH DE number 5497555 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comparison of biased simulation schemes for stochastic volatility models
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
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- A tree-based method to price American options in the Heston model
- An Optimal Investment/Consumption Model with Borrowing
- An approximation scheme for solution to the optimal investment problem in incomplete markets
- An example of indifference prices under exponential preferences
- Cautious Expected Utility and the Certainty Effect
- Controlled Markov processes and viscosity solutions
- Convex Analysis
- European Option Pricing with Transaction Costs
- Explicit solutions of some utility maximization problems in incomplete markets
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Forward-backward systems for expected utility maximization
- Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
- Modeling non-monotone risk aversion using SAHARA utility functions
- Numerical Methods for an Optimal Investment-Consumption Model
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Stochastic optimal control. The discrete time case
- The singular points binomial method for pricing American path-dependent options
- User’s guide to viscosity solutions of second order partial differential equations
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