Stochastic volatility for utility maximizers - A martingale approach

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Standard

Stochastic volatility for utility maximizers - A martingale approach. / Ellersgaard, Simon; Tegner, Martin.

I: International Journal of Financial Engineering, Bind 5, Nr. 1, 1850007, 2018.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Ellersgaard, S & Tegner, M 2018, 'Stochastic volatility for utility maximizers - A martingale approach', International Journal of Financial Engineering, bind 5, nr. 1, 1850007. https://doi.org/10.1142/S242478631850007X

APA

Ellersgaard, S., & Tegner, M. (2018). Stochastic volatility for utility maximizers - A martingale approach. International Journal of Financial Engineering, 5(1), [1850007]. https://doi.org/10.1142/S242478631850007X

Vancouver

Ellersgaard S, Tegner M. Stochastic volatility for utility maximizers - A martingale approach. International Journal of Financial Engineering. 2018;5(1). 1850007. https://doi.org/10.1142/S242478631850007X

Author

Ellersgaard, Simon ; Tegner, Martin. / Stochastic volatility for utility maximizers - A martingale approach. I: International Journal of Financial Engineering. 2018 ; Bind 5, Nr. 1.

Bibtex

@article{c09c2699819b4a51abbc004079f67bd1,
title = "Stochastic volatility for utility maximizers - A martingale approach",
keywords = "Merton's portfolio problem, stochastic volatility: Heston model, Martingale approach",
author = "Simon Ellersgaard and Martin Tegner",
year = "2018",
doi = "10.1142/S242478631850007X",
language = "English",
volume = "5",
journal = "International Journal of Financial Engineering",
issn = "2345-7686",
publisher = "World Scientific Publishing Co. Pte. Ltd.",
number = "1",

}

RIS

TY - JOUR

T1 - Stochastic volatility for utility maximizers - A martingale approach

AU - Ellersgaard, Simon

AU - Tegner, Martin

PY - 2018

Y1 - 2018

KW - Merton's portfolio problem

KW - stochastic volatility: Heston model

KW - Martingale approach

U2 - 10.1142/S242478631850007X

DO - 10.1142/S242478631850007X

M3 - Journal article

VL - 5

JO - International Journal of Financial Engineering

JF - International Journal of Financial Engineering

SN - 2345-7686

IS - 1

M1 - 1850007

ER -

ID: 202196222