Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/18M1208459
Reference9 articles.
1. The Jacobi stochastic volatility model
2. Option pricing with transaction costs and a nonlinear Black-Scholes equation
3. Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
4. Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
5. European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
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