A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility

Yong He 0006, 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. Computational Applied Mathematics, 423:114993, 2023. [doi]

Abstract

Abstract is missing.