Open AccessAn explicit solution for optimal investment in Heston model
Author(s) -
Елена Владимировна Богуславская,
Elena Bladimirovna Boguslavskaya,
Dmitry Muravey
Publication year - 2015
Publication title -
teoriâ veroâtnostej i ee primeneniâ
Language(s) - Russian
Resource type - Journals
eISSN - 2305-3151
pISSN - 0040-361X
DOI - 10.4213/tvp5037
Subject(s) - heston model , investment (military) , mathematics , economics , econometrics , stochastic volatility , sabr volatility model , political science , law , volatility (finance) , politics