Optimal investment and consumption problem for spread markets with stochastic volatility
We consider a spread financial market defined by the Ornstein-Uhlenbeck (OU) process with a diffusion coefficient driven by a stochastic differential equation.For this market we study the optimal consumption/investment problem under logarithmic utilities. This problem is studied on the base of the s...
| Published in: | Международная научная конференция "Робастная статистика и финансовая математика - 2022" (04-05 июля 2022 г.) : сборник статей С. 4-11 |
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| Format: | Book Chapter |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000996101 Перейти в каталог НБ ТГУ |