East Asian mathematical journal

The Youngnam Mathematical Society (영남수학회)
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PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL

  • Kim, Jai Heui (Department of Mathematics, Pusan National University) ;
  • Veng, Sotheara (Department of Mathematics, Pusan National University)
  • Received : 2016.11.29
  • Accepted : 2016.12.05
  • Published : 2017.01.31
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Abstract

We study an optimization problem for HARA utility function under a multi-scale Heston's stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.

Keywords

References

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