The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
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Publication:995510
DOI10.1016/j.insmatheco.2006.04.007zbMath1141.91473OpenAlexW1980563255MaRDI QIDQ995510
Zhai Hong, Jian-Wu Xiao, Cheng-Lin Qin
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.007
stochastic optimal controlLegendre transformdefined-contribution pension planCEV modeloptimal investment strategy
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Cites Work
- Unnamed Item
- A variational problem arising in financial economics
- Stochastic optimal control of annuity contracts.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The role of Hellinger processes in mathematical finance
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Volatility and stock prices: Implications from a production model of asset pricing
