COMMUNICATION
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doi:10.20944/preprints202304.1011.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
local correlation; closed-form prices; spread option; basket option
Online: 27 April 2023 (03:22:51 CEST)
ARTICLE
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doi:10.20944/preprints202308.1726.v1
Subject:
Computer Science And Mathematics,
Applied Mathematics
Keywords:
4/2 stochastic volatility model; CRRA utility; optimal portfolio choice and consumption; Heston’s process; 3/2 process
Online: 24 August 2023 (07:23:19 CEST)