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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin ReikvamVolume:
13
Année:
2003
Langue:
english
Pages:
30
DOI:
10.1111/1467-9965.00015
Fichier:
PDF, 291 KB
english, 2003