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English

Merton's portfolio optimization problem in a Black & Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Paperback • 2001 • Norwegian Bokmål

Merton's portfolio optimization problem in a Black & Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

By Fred Espen Benth

0 Ratings • 0.0 of 5

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About the book

Book details

ISBN

9788255312857

Publisher

[Oslo] : [Department of Mathematics, University of Oslo]

Published year

2001

Language

Norwegian Bokmål

Original title

Merton's portfolio optimization problem in a Black & Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Format

Paperback

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