Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities

We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the volatilities or in the expected returns. We provide an approximation for the optimal wealth and for the optimal strategy based on affine processes and the fast fourier transform

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Year of publication:	2018
Authors:	Herzel, Stefano
Other Persons:	Nicolosi, Marco (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Kapitaleinkommen \| Capital income \| Optionsgeschäft \| Option trading \| Mean Reversion \| Mean reversion \| Aktienoption \| Stock option
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Computational Management Science, pp 1-23, December (2017) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 30, 2017 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012930916