Utility maximization in affine stochastic volatility models
نویسندگان
چکیده
We consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.
منابع مشابه
Indifference pricing and hedging in stochastic volatility models
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of “reciprocal affine” models for which the indifference price and optimal hedge portfolio for pure volatility claims are efficiently computable. We obtain a general formula for the market price of volatility risk in these models and calculate it explicitly for th...
متن کاملUtility Maximization in Models with Conditionally Independent Increments
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process. 1. Introduction. A classical problem in Mathematical Finance is to ...
متن کاملPortfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
In a continuous-time economy, we investigate the asset allocation problem among a risk-free asset and two risky assets with an ambiguous correlation between the two risky assets. The portfolio selection that is robust to the uncertain correlation is formulated as the utility maximization problem over the worst-case scenario with respect to the possible choice of correlation. Thus, it becomes a ...
متن کاملGeometric asian option pricing in general affine stochastic volatility models with jumps
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions for some relevant affine model classes.
متن کاملOn Utility-Based Investment, Pricing and Hedging in Incomplete Markets
This thesis deals with rational investors who maximize their expected utility in incomplete markets. In Part I, we consider models where incompleteness is induced by jumps and stochastic volatility. Using martingale methods we determine optimal investment strategies for power utility in a wide class of different models. Moreover, we show how first-order approximations of utility-based prices an...
متن کامل