E. B. Boguslavskaya, D. Muravey, “An explicit solution for optimal investment in Heston model”, Teor. Veroyatnost. i Primenen., 2015, Volume 60, Issue 4,Pages <nobr>811

JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2015 Volume 60, Issue 4, Pages 811–819 (Mi tvp5037)

This article is cited in 11 papers

Short Communications

An explicit solution for optimal investment in Heston model

E. B. Boguslavskaya^a, D. Muravey^b

^a Brunel University
^b International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow

Received: 10.10.2015

DOI: 10.4213/tvp5037

English version: Theory of Probability and its Applications, 2016, 60:4, 679–688

Bibliographic databases: