《An explicit solution for optimal investment in Heston model》
---
作者:
Elena Boguslavskaya and Dmitry Muravey
---
最新提交年份:
2015
---
英文摘要:
In this paper we consider a variation of the Merton\'s problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under some assumptions on the underlying process and the utility function. The resulting parabolic PDE is often quite difficult to solve, even when it is linear. The present paper contributes to the pool of explicit solutions for stochastic optimal control problems. Our main result is the exact solution for optimal investment in Heston model.
---
中文摘要:
在本文中,我们考虑了具有随机波动性和有限时间范围的默顿问题的一个变种。众所周知,在对潜在过程和效用函数的某些假设下,相应的最优控制问题可以化为线性抛物型边界问题。由此产生的抛物线偏微分方程通常很难求解,即使它是线性的。本文致力于随机最优控制问题的显式解库。我们的主要结果是赫斯顿模型中最优投资的精确解。
---
分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Mathematical Finance 数学金融学
分类描述:Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法,包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
--
---
PDF下载:
-->