97 citations · 408 across the 20 of their papers we have counts for
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q-fin.PM2014★ 7 cited
Optimal investment with time-varying stochastic endowments
Christoph Belak, An Chen, Carla Mereu +1
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financ…
q-fin.PR2014
Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
Robert Stelzer, Jovana Zavišin
We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingal…