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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

  • Published:2003-04 Issue:2 Volume:13 Page:215-244
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Benth Fred Espen,Karlsen Kenneth Hvistendahl,Reikvam Kristin

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference32 articles.

1. Processes of normal inverse Gaussian type

2. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

3. Stochastic Control of Partially Observable Systems

4. F. E.Benth, and K. H.Karlsen(2003 ): Pricing of European Options in a Non-Gaussian Stochastic Volatility Market . Manuscript in preparation.

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