Power utility maximization in exponential Lévy models : convergence of discrete-time to continuous-time maximizers

Johannes P. Temme

Year of publication:	2012
Authors:	Temme, Johannes P.
Published in:	Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 76.2012, 1, p. 21-41
Subject:	Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection \| Optionspreistheorie \| Option pricing theory \| Mathematische Optimierung \| Mathematical programming

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