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20092018
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 31 across the 6 of their papers we have counts for

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q-fin.PM2009

State-dependent utility maximization in Lévy markets

Jose E. Figueroa-Lopez, Jin Ma

We revisit Merton's portfolio optimization problem under boun-ded state-dependent utility functions, in a market driven by a Lévy process extending results by Karatzas et. al.…