Portfolio Selection and Dynamic Behavior in Heston's Stochastic Volatility Model Using a Contingent Claim

Author:

Zhang Aihua,Zhang Yongmin,Zhao Yingxue

Publisher

Elsevier BV

Reference23 articles.

1. The pricing of options and corporate liabilities;F Black;Journal of political economy,1973

2. Monotonicity properties of optimal investment strategies for log-Brownian asset prices;C Borrell;Mathematical Finance,2007

3. Optimal consumption and portfolio policies when asset prices follow a diffusion process;J Cox;Journal of Economic Theory,1989

4. Option pricing in incomplete markets;M H A Davis;Mathematics of Derivative Securities,1998

5. Valuation, hedging and investment in incomplete financial markets;M H A Davis;Applied Mathematics Entering the 21st Century,2004

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