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      Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random

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      Journal: SIAM Journal on Control and Optimization
      Publisher: Society for Industrial & Applied Mathematics (SIAM)

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          Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

          ROBERT MERTON (1969)
          Article 0 comments Cited 348 times – based on 0 reviews     Review now
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            The Pricing of Options on Assets with Stochastic Volatilities

            John W Hull, Alan White (1987)
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              Range-Based Estimation of Stochastic Volatility Models

              Sassan Alizadeh, Michael Brandt, Francis X Diebold (2002)
              Article 0 comments Cited 120 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: SIAM Journal on Control and Optimization
                Abbreviated Title: SIAM J. Control Optim.
                Publisher: Society for Industrial & Applied Mathematics (SIAM)
                ISSN (Print): 0363-0129
                ISSN (Electronic): 1095-7138
                Publication date Created: January 2004
                Publication date (Print): January 2004
                Volume: 43
                Issue: 4
                Pages: 1328-1353
                Article
                DOI: 10.1137/S0363012903409253
                SO-VID: c2a4ebb6-c6a4-44e9-bf0f-f66e4532d77e
                Copyright © © 2004
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