Optimal portfolio, partial information and Malliavin calculus
Author:
Affiliation:
1. a Department of Mathematics , Centre of Mathematics for Applications (CMA), University of Oslo , P.O. Box 1053, Blindern, N-0316, Oslo, Norway
2. b Norwegian School of Economics and Business Administration , Helleveien 30, N-5045, Bergen, Norway
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442500902917979
Reference19 articles.
1. Lévy Processes and Stochastic Calculus
2. Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
3. Anticipative calculus for Lévy processes and stochastic differential equations*
4. MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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