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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Mathematical Finance 13 (2003) 2, pp. 215-244
Persistent link: https://www.econbiz.de/10005139673
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Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Benth, Fred Espen; Nunno, Giulia Di; Løkka, Arne; … - In: Mathematical Finance 13 (2003) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10005294278