Numerical Approach to Asset Pricing Models with Stochastic Differential Utility
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References listed on IDEAS
- Yacine Aït-Sahalia, 1999. "Transition Densities for Interest Rate and Other Nonlinear Diffusions," Journal of Finance, American Finance Association, vol. 54(4), pages 1361-1395, August.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Akira Kashiwabara & Nobuhiro Nakamura, 2011. "Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 131-150, May.
More about this item
Keywordsstochastic differential utility; forward-backward stochastic differential equation; lattice algorithm; four step scheme;
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