Portfolio problem for the -hypergeometric stochastic volatility model with consumption
From MaRDI portal
Publication:6648741
DOI10.1016/J.JMAA.2024.128891MaRDI QIDQ6648741FDOQ6648741
Authors: João Pedro Boto, F. Cipriano, Paulo H. Rocha 
Publication date: 5 December 2024
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Recommendations
- Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model
- An optimal consumption model with stochastic volatility
- Portfolio optimization for assets with stochastic yields and stochastic volatility
- An optimal consumption and investment problem with stochastic hyperbolic discounting
Hamilton-Jacobi-Bellman equationstochastic volatilityFeynman-Kac representationutility functionportfolio problem
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Optimum consumption and portfolio rules in a continuous-time model
- Continuous-time stochastic control and optimization with financial applications
- Stock price distributions with stochastic volatility: an analytic approach
- An optimal consumption model with stochastic volatility
- The \(\alpha\)-hypergeometric stochastic volatility model
- Riding on the smiles
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- A comparison of biased simulation schemes for stochastic volatility models
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- A solution approach to valuation with unhedgeable risks
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Gamma expansion of the Heston stochastic volatility model
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
- Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model
This page was built for publication: Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6648741)
