References
- E. W. Anderson, L. P. Hansen, and T. J. Sargent, A quartet of semigroups for model specification, detection, robustness and the price of risk, J. Eur. Econ. Assoc. 1 (2003), no. 1. 68-123. https://doi.org/10.1162/154247603322256774
- J. Cao, J.-H. Kim, and W. Zhang, Pricing variance swaps under hybrid CEV and stochastic volatility, J. Comput. Appl. Math. 386 (2021), Paper No. 113220, 14 pp. https://doi.org/10.1016/j.cam.2020.113220
- S.-Y. Choi, J.-P. Fouque, and J.-H. Kim, Option pricing under hybrid stochastic and local volatility, Quant. Finance 13 (2013), no. 8, 1157-1165. https://doi.org/10.1080/14697688.2013.780209
- J. C. Cox, Constant elasticity of variance diffusions, J. Portf. Manag. 23 (1996), 15-17. https://doi.org/10.3905/jpm.1996.015
- J. C. Cox and C. Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process, J. Econom. Theory 49 (1989), no. 1, 33-83. https://doi.org/10.1016/0022-0531(89)90067-7
- J.-P. Fouque, G. Papanicolaou, and R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge, 2000.
- J.-P. Fouque, G. Papanicolaou, R. Sircar, and K. Solna, Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives, Cambridge University Press, Cambridge, 2011. https://doi.org/10.1017/CBO9781139020534
- J. Gao, Optimal portfolios for DC pension plans under a CEV model, Insurance Math. Econom. 44 (2009), no. 3, 479-490. https://doi.org/10.1016/j.insmatheco.2009.01.005
- C. R. Harvey, The specification of conditional expectations, J Empir. Finance 8 (2001), 573-637. https://doi.org/10.1016/S0927-5398(01)00036-6
- J. C. Jackwerth and M. Rubinstein, Recovering probability distributions from option prices, J. Finance 51 (1996), 1611-1631. https://doi.org/10.1111/j.1540-6261.1996.tb05219.x
- J. D. Macbeth and L. J. Merville, Tests of the Black-Scholes and Cox call option valuation models, J. Finance 35 (1980), 285-301. https://doi.org/10.1111/j.1540-6261.1980.tb02157.x
- P. Maenhout, Robust portfolio rules and asset pricing, Rev. Financ. Stud. 17(2004), 951-984. https://doi.org/10.1093/rfs/hhh003
- R. C. Merton, Lifetime portfolio selection under uncertainty: the continuous-time case, Rev. Econ. Stat. 51 (1969), 247-257. https://doi.org/10.2307/1926560
- R. C. Merton, Optimum consumption and portfolio rules in a continuous-time model, J. Econom. Theory 3 (1971), no. 4, 373-413. https://doi.org/10.1016/0022-0531(71)90038-X
- B. Peng, J. Cao, and W. Zhang, Optimal portfolio choices under the SVCEV model with exponential utility, AIP Conference Proceedings 2423 (2021), 030005.
- M. Rubinstein, Nonparametric tests of alternative option pricing models using CBOE reported trades, J. Finance 40 (1985), 455-480. https://doi.org/10.1111/j.1540-6261.1985.tb04967.x
- S.-J. Yang, J.-H. Kim, and M.-K. Lee, Portfolio optimization for pension plans under hybrid stochastic and local volatility, Appl. Math. 60 (2015), no. 2, 197-215. https://doi.org/10.1007/s10492-015-0091-9
- S.-J. Yang, M.-K. Lee, and J.-H. Kim, Portfolio optimization under the stochastic elasticity of variance, Stoch. Dyn. 14 (2014), no. 3, 1350024, 19 pp. https://doi.org/10.1142/S021949371350024X