Utility Maximization In Affine Stochastic Volatility Models
AbstractWe consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 13 (2010)
Issue (Month): 03 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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- Di Nunno, Giulia & Sjursen, Steffen, 2014. "BSDEs driven by time-changed Lévy noises and optimal control," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1679-1709.
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