Asset-Liability Management Strategy with Heston's Stochastic Volatility Model in the HARA Utility Framework

MA Juan, FAN Shunhou, CHANG Hao

Journal of Systems Science and Mathematical Sciences ›› 2017, Vol. 37 ›› Issue (5) : 1259-1271.

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Journal of Systems Science and Mathematical Sciences ›› 2017, Vol. 37 ›› Issue (5) : 1259-1271. DOI: 10.12341/jssms13156

Asset-Liability Management Strategy with Heston's Stochastic Volatility Model in the HARA Utility Framework

  • MA Juan1, FAN Shunhou1, CHANG Hao 2,1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2017, 37(5): 1259-1271 https://doi.org/10.12341/jssms13156

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