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Teor. Veroyatnost. i Primenen., 2015, Volume 60, Issue 4, Pages 811–819 (Mi tvp5037)  

This article is cited in 2 scientific papers (total in 2 papers)

Short Communications

An explicit solution for optimal investment in Heston model

E. B. Boguslavskayaa, D. Muraveyb

a Brunel University
b International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow

Funding Agency Grant Number
Правительство РФ 14.A12.31.0007
Daphne Jackson Fellowship


DOI: https://doi.org/10.4213/tvp5037

Full text: PDF file (169 kB)
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English version:
Theory of Probability and its Applications, 2016, 60:4, 679–688

Bibliographic databases:

Received: 10.10.2015

Citation: E. B. Boguslavskaya, D. Muravey, “An explicit solution for optimal investment in Heston model”, Teor. Veroyatnost. i Primenen., 60:4 (2015), 811–819; Theory Probab. Appl., 60:4 (2016), 679–688

Citation in format AMSBIB
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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Z. S. Mostaghim, B. P. Moghaddam, H. S. Haghgozar, “Computational technique for simulating variable-order fractional Heston model with application in US stock market”, Math. Sci., 12:4 (2018), 277–283  crossref  mathscinet  zmath  isi
    2. V. V. Piterbarg, “The optimal investment problem in stochastic and local volatility models”, J. Invest. Strateg., 7:4 (2018), 1–25  crossref  isi  scopus
  • Теория вероятностей и ее применения Theory of Probability and its Applications
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