Portfolio problem for the -hypergeometric stochastic volatility model with consumption
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Publication:6648741
DOI10.1016/J.JMAA.2024.128891MaRDI QIDQ6648741FDOQ6648741
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)
Hamilton-Jacobi-Bellman equationstochastic volatilityFeynman-Kac representationutility functionportfolio problem
Cites Work
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- Riding on the smiles
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- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
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- 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
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