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.

PDF(477 KB)
中国科学院数学与系统科学研究院期刊网
PDF(477 KB)
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

  • {{article.zuoZhe_EN}}
Author information +
History +

HeighLight

{{article.keyPoints_en}}

Abstract

{{article.zhaiyao_en}}

Key words

QR code of this article

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2017, 37(5): 1259-1271 https://doi.org/10.12341/jssms13156

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

{{article.reference}}

Funding

RIGHTS & PERMISSIONS

{{article.copyrightStatement_en}}
{{article.copyrightLicense_en}}
PDF(477 KB)

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉