System Upgrade on Tue, May 28th, 2024 at 2am (EDT)
Existing users will be able to log into the site and access content. However, E-commerce and registration of new users may not be available for up to 12 hours.For online purchase, please visit us again. Contact us at customercare@wspc.com for any enquiries.
Results: 1 - 1of1
Save this search
Please login to be able to save your searches and receive alerts for new content matching your search criteria.
OPTIMAL CONSUMPTION AND PORTFOLIO IN A MARKET WHERE THE VOLATILITY IS DRIVEN BY FRACTIONAL BROWNIAN MOTION
Preview AbstractThis paper deals with the problem of optimal consumption and portfolio for a generalized Black and Scholes market where the volatility is driven by a standard Brownian motion and by a fractional Brownian motion in the same time.