Portfolio problem for the -hypergeometric stochastic volatility model with consumption
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Cites work
- 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 solution approach to valuation with unhedgeable risks
- An optimal consumption model with stochastic volatility
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- Continuous-time stochastic control and optimization with financial applications
- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- Gamma expansion of the Heston stochastic volatility model
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
- Riding on the smiles
- Stock price distributions with stochastic volatility: an analytic approach
- The -hypergeometric stochastic volatility model
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