UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

被引：32

作者：

Kallsen, Jan ^{[1
]}

Muhle-Karbe, Johannes ^{[2
]}

机构：

[1] Christian Albrechts Univ Kiel, Math Seminar, Westring 383, D-24118 Kiel, Germany

[2] Univ Wien, Fak Math, A-1090 Vienna, Austria

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2010年 / 13卷 / 03期

关键词：

Portfolio optimization; stochastic volatility; martingale method;

D O I：

10.1142/S0219024910005851

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.

引用

页码：459 / 477

页数：19

共 50 条

[1] Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
Richter, Anja
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2014, 124 (11) : 3578 - 3611
[2] Affine fractional stochastic volatility models
Comte, F.
Coutin, L.
Renault, E.
ANNALS OF FINANCE, 2012, 8 (2-3) : 337 - 378
[3] Affine fractional stochastic volatility models
F. Comte
L. Coutin
E. Renault
Annals of Finance, 2012, 8 (2-3) : 337 - 378
[4] A didactic note on affine stochastic volatility models
Kallsen, J
FROM STOCHASTIC CALCULUS TO MATHEMATICAL FINANCE: THE SHIRYAEV FESTSCHRIFT, 2006, : 343 - 368
[5] Quadratic hedging in affine stochastic volatility models
Jan Kallsen
Richard Vierthauer
Review of Derivatives Research, 2009, 12 : 3 - 27
[6] Quadratic hedging in affine stochastic volatility models
Kallsen, Jan
Vierthauer, Richard
REVIEW OF DERIVATIVES RESEARCH, 2009, 12 (01) : 3 - 27
[7] PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
Kallsen, Jan
Muhle-Karbe, Johannes
Voss, Moritz
MATHEMATICAL FINANCE, 2011, 21 (04) : 627 - 641
[8] Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Jacquier, Antoine
Keller-Ressel, Martin
Mijatovic, Aleksandar
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2013, 85 (02) : 321 - 345
[9] Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew D.
Wu, Jing Cynthia
JOURNAL OF ECONOMETRICS, 2015, 185 (01) : 60 - 81
[10] Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
Raggi, D
ECONOMETRICS JOURNAL, 2005, 8 (02): : 235 - 250

← 1 2 3 4 5 →