Power Utility Maximization in an Exponential Lévy Model Without a Risk-free Asset

ISSN： 0168-9673

Source： Acta Mathematicae Applicatae Sinica, Vol.21, Iss.1, 2005-02, pp. : 145-152

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Related content

ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

MATHEMATICAL FINANCE, Vol. 28, Iss. 1, 2018-01 ,pp. : 82-105

John Wiley & Sons Inc

Access to resources Recommend Favorite

Utility maximization in a jump market model

By Morlais Marie-Amelie

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 81, Iss. 1, 2009-02 ,pp. : 1-27

Taylor & Francis Ltd

Access to resources Recommend Favorite

Pricing American currency options in an exponential Lévy model

By Chesney Marc Jeanblanc M.

Applied Mathematical Finance, Vol. 11, Iss. 3, 2004-09 ,pp. : 207-225

Routledge Ltd

Access to resources Recommend Favorite

Exponential risk measure with application to UK asset allocation

By Satchell Stephen E. Damant David C. Hwang Soosung

Applied Mathematical Finance, Vol. 7, Iss. 2, 2000-06 ,pp. : 127-152

Routledge Ltd

Access to resources Recommend Favorite

Option Pricing for Time-Change Exponential Lévy Model Under Memm

By Chen Xu

Acta Mathematicae Applicatae Sinica, Vol. 23, Iss. 4, 2007-10 ,pp. : 651-664

Springer Publishing Company

Access to resources Recommend Favorite