Stochastic volatility for utility maximizers - A martingale approach

Simon Ellersgaard, Martin Tegner

Original language	English
Article number	1850007
Journal	International Journal of Financial Engineering
Volume	5
Issue number	1
ISSN	2345-7686
DOIs	https://doi.org/10.1142/S242478631850007X
Publication status	Published - 2018

Keywords

@article{c09c2699819b4a51abbc004079f67bd1,

title = "Stochastic volatility for utility maximizers - A martingale approach",

keywords = "Merton's portfolio problem, stochastic volatility: Heston model, Martingale approach",

author = "Simon Ellersgaard and Martin Tegner",

year = "2018",

doi = "10.1142/S242478631850007X",

language = "English",

volume = "5",

journal = "International Journal of Financial Engineering",

issn = "2345-7686",

publisher = "World Scientific Publishing Co. Pte. Ltd.",

number = "1",

}

TY - JOUR

T1 - Stochastic volatility for utility maximizers - A martingale approach

AU - Ellersgaard, Simon

AU - Tegner, Martin

PY - 2018

Y1 - 2018

KW - Merton's portfolio problem

KW - stochastic volatility: Heston model

KW - Martingale approach

U2 - 10.1142/S242478631850007X

DO - 10.1142/S242478631850007X

M3 - Journal article

SN - 2345-7686

VL - 5

JO - International Journal of Financial Engineering

JF - International Journal of Financial Engineering

IS - 1

M1 - 1850007

ER -