Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model
Author:
Funder
National Key R &D Program of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s40314-024-02844-x.pdf
Reference24 articles.
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2. Cox JC, Ross SA (1976) The valuation of options for alternative stochastic processes. J Financ Econ 3(1–2):145–166. https://doi.org/10.1016/0304-405X(76)90023-4
3. Duarte I, Pinheiro D, Pinto AA et al (2011) An overview of optimal life insurance purchase, consumption and investment problems. Dyn Games Sci I:271–286. https://doi.org/10.1007/978-3-642-11456-4_18
4. Gao J (2010) An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts. Insur Math Econ 46(3):511–530. https://doi.org/10.1016/j.insmatheco.2010.01.009
5. He Y, Chen P, He L et al (2023) A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility. J Comput Appl Math 423:114993. https://doi.org/10.1016/j.cam.2022.114993
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