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A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility.

Yong HePeimin ChenLin HeKaili XiangChunchi Wu
Published in: J. Comput. Appl. Math. (2023)
Keyphrases
  • probabilistic model
  • closed form
  • information extraction
  • stochastic programming
  • genetic algorithm
  • optimization method
  • problems involving
  • stochastic control