SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimal investment problems and volatility homogenization approximations · Study

ChapterShelves

ChapterOptimal investment problems and volatility homogenization approximations

Mattias Jönsson2002

Chapter2002

Optimal investment problems and volatility homogenization approximations

Mattias Jönsson · Ronnie Sircar

60 citations·0/0 files stored·Springer eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Risk and Portfolio Optimization Advanced Mathematical Modeling in Engineering

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 60 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1987The Pricing of Options on Assets with Stochastic Volatilities 2003Stochastic Differential Equations 2005Controlled Markov Processes and Viscosity Solutions 1998Methods of Mathematical Finance

Cited by

2012Optimal investment strategies for the HARA utility under the constant elasticity of variance model 2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts 2015Filtering and portfolio optimization with stochastic unobserved drift in asset returns 2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform 2013Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model 2005

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivativesbook · 7 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 7 shared references 1998Hedging American contingent claims with constrained portfoliosarticle · 7 shared references 2002Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utilityarticle · 7 shared references 2010Continuous-Time Markowitz's Model with Transaction Costsarticle · 7 shared references

Details

Year2002

Typechapter

Published2002-01-01

VenueSpringer eBooks

Languageen

Citations60

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-94-010-0510-4_7

openalex_workW1579493056

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Risk premium and fair option prices under stochastic volatility: the HARA solution

2004Singular Perturbations for Boundary Value Problems Arising from Exotic Options