Numerical approach to asset pricing models with stochastic differential utility
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1121855 (Why is no real title available?)
- A Generalized Stochastic Differential Utility
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- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal consumption choices for a `large' investor
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- Quadratic convergence for valuing American options using a penalty method
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- Stochastic Differential Utility
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- The Recoverability of Consumers' Preferences from Market Demand Behavior
- Utility maximization in incomplete markets
Cited in
(6)- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- Asset pricing with a forward--backward stochastic differential utility
- scientific article; zbMATH DE number 5521802 (Why is no real title available?)
- 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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