Closed-Form Optimal Strategies of Continuous-Time Options with Stochastic Differential Equations
A continuous-time portfolio selection with options based on risk aversion utility function in financial market is studied. The different price between sale and purchase of options is introduced in this paper. The optimal investment-consumption problem is formulated as a continuous-time mathematical...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2017/8734235 |
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