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Titel:

Utility maximization in affine stochastic volatility models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Muhle-Karbe, J., Kallsen, J.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
We 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.
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
The International Journal of Theoretical and Applied Finance
Jahr:
2008
Band / Volume:
13
Heft / Issue:
3
Seitenangaben Beitrag:
459-477
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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