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(Research report / Forskningsrapport, 2004)
We analyze the classical Merton's portfolio optimization problem when the risky asset follows an exponential Ornstein-Uhlenbeck process, also known as the Schwartz mean-reversion dynamics. The corresponding Hamilton-Jacobi-Bellman ...
(Research report / Forskningsrapport, 2003)
Under general conditions stated in Rheinländer 30], we prove that in a stochastic volatility market the Radon-Nikodym density of the minimal entropy martingale measure can be expressed in terms of the solution of a semilinear ...
(Research report / Forskningsrapport, 2002)
In this paper we investigate the recently introduced Malliavin approach compared to more classical approaches to find sensitivities of options in commodity and energy markets. The Malliavin approach has been developed in ...
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2000)