Numerical approach to asset pricing models with stochastic differential utility

DOI10.1007/S10690-005-9003-4zbMATH Open1147.91328OpenAlexW1977778540MaRDI QIDQ853855FDOQ853855

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-005-9003-4

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Optimal consumption and portfolio selection with stochastic differential utility
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Stochastic Differential Utility
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Backward Stochastic Differential Equations in Finance
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Ambiguity, Risk, and Asset Returns in Continuous Time
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A Generalized Stochastic Differential Utility
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Cited In (6)

Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
Asset pricing with a forward--backward stochastic differential utility
Title not available (Why is that?)
Numerical schemes for variational inequalities arising in international asset pricing
Numerical solution by iterative methods of a class of vintage capital models
Methods of PC realization of the stochastic models of stock and bond values

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