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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2017.1
- 수록면
- 23 - 36 (14page)
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초록· 키워드
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We study an optimization problem for HARA utility function under a multi-scale Heston’s stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.
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참고문헌 (11)
참고문헌 신청
B. Oksendal / 1998 / Stochastic Differential Equations / Springer
H. Kraft / 2015 / Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility / Quantitative Finance 5 : 303 ~ 313
J-P. Fouque / 2003 / Short time-scale in S&P 500 / Journal of Computational Finance 6 : 1 ~ 23
J-P. Fouque / 2010 / Derivatives in Financial Markets with Sto-chastic Volatility / Cambridge Univrsity Press
J-P. Fouque / 2011 / A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model / SIAM Journal on Financial Mathematics 2 : 221 ~ 254
H. Kraft / 2015 / Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility / Quantitative Finance 5 : 303 ~ 313
J-P. Fouque / 2003 / Short time-scale in S&P 500 / Journal of Computational Finance 6 : 1 ~ 23
J-P. Fouque / 2010 / Derivatives in Financial Markets with Sto-chastic Volatility / Cambridge Univrsity Press
J-P. Fouque / 2011 / A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model / SIAM Journal on Financial Mathematics 2 : 221 ~ 254
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