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

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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]

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