Mean–Variance Portfolio Selection Under Volterra Heston Model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
https://link.springer.com/content/pdf/10.1007/s00245-020-09658-3.pdf
Reference36 articles.
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2. El Euch, O., Rosenbaum, M.: The characteristic function of rough Heston models. Math. Financ. 29, 3–38 (2019)
3. Guennoun, H., Jacquier, A., Roome, P., Shi, F.: Asymptotic behavior of the fractional Heston model. SIAM J. Financ. Math. 9, 1017–1045 (2018)
4. Heston, S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6, 327–343 (1993)
5. Fukasawa, M.: Asymptotic analysis for stochastic volatility: martingale expansion. Financ. Stoch. 15, 635–654 (2011)
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