Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong. Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy. SIAM J. Financial Math., 10(4):977-1005, 2019. [doi]

Abstract

Abstract is missing.