Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach
Yumo Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Yumo |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 46.2023, 1, p. 97-128
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| Subject: | Affine diffusion process | Backward stochastic differential equation | CIR risk premium | Logarithmic utility | Power utility | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Nutzen | Utility | Analysis | Mathematical analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-022-00374-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014321379