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Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
16 references·6 citing·35 second hop
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003)Merton's portfolio optimization problem i…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Optimal portfolios for logarithmic utility (2000)Optimal portfolios for logari…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…European Option Pricing with Transaction Costs (1993)European Option Pricing with …The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets (2016)Pricing variance and volatili…GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING (2016)GENERALIZED BN–S STOCHASTIC V…HARA frontiers of optimal portfolios in stochastic markets (2011)HARA frontiers of optimal por…UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010)UTILITY MAXIMIZATION IN AFFIN…Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients (2008)Optimal investment and consum…Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients (2005)Optimal Consumption-Investmen…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 1997The normal inverse gaussian lévy process: simulation and approximation284 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited

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Optimal portfolios for logarithmic utility
145 cited

Cited by

  • 2008Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients52 cited
  • 2010UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS50 cited
  • 2005Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients44 cited
  • 2016Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets36 cited
  • 2016GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING33 cited
  • 2011HARA frontiers of optimal portfolios in stochastic markets32 cited