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"A dynamic Heston local-stochastic volatility model and Legendre transform ..."

Yong He et al. (2023)

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DOI: 10.1016/J.CAM.2022.114993

access: closed

type: Journal Article

metadata version: 2023-01-31

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Yong He, Peimin Chen, Lin He, Kaili Xiang, Chunchi Wu:
A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility. J. Comput. Appl. Math. 423: 114993 (2023)

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