Portfolio optimization and stochastic volatility asymptotics
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Publication:5283401
DOI10.1111/MAFI.12109zbMATH Open1377.91148OpenAlexW3121177045MaRDI QIDQ5283401FDOQ5283401
Authors: Jean-Pierre Fouque, Ronnie Sircar, Thaleia Zariphopoulou 
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12109
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Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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