Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models

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Author
Richter, Anja
Date
2012-01-13
Type
    Working Paper
Publication status
published
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Journal / series
arXiv
Pages / Article No.
1201.2877
Publisher
Cornell University
Subject
Quadratic BSDEs; Affine processes; Wishart processes; Utility maximization; Stochastic volatility; Explicit solution
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef  
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yes
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