Open AccessAn explicit solution for optimal investment in Heston model
Author(s) -
Elena Bladimirovna Boguslavskaya,
Dmitry Muravey
Publication year - 2015
Publication title -
теория вероятностей и ее применения
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
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