Merton's portfolio optimization problem in a black and scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Mathematical Finance

Volumn 13, Issue 2, 2003, Pages 215-244

  Benth, Fred Espen ^a,b   Karlsen, Kenneth Hvistendahl ^c   Reikvam, Kristin ^a  

^a UNIVERSITY OF OSLO   (Norway)

^b AARHUS UNIVERSITY   (Denmark)

^c UNIVERSITY OF BERGEN   (Norway)

Author keywords

Feynman Kac formula; Non Gaussian Ornstein Uhlenbeck process; Portfolio optimization; Stochastic volatility; Verification theorem

Indexed keywords

EID: 0141936530     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00015     Document Type: Article

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