Dynamic Mean-Variance Model with Borrowing Constraint under the Constant Elasticity of Variance Process
نویسندگان
چکیده
منابع مشابه
The Constant Elasticity of Variance Model∗
The constant elasticity of variance (CEV) spot price model is a one-dimensional diffusion model with the instantaneous volatility specified to be a power function of the underlying spot price, σ(S) = aS . The model has been introduced by Cox [7] as one of the early alternatives to the geometric Brownian motion to model asset prices. The CEV process is closely related to Bessel processes and is ...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2013
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2013/348059