A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL

被引：1

作者：

Alghalith, Moawia ^{[1
]}

机构：

[1] Univ West Indies, Dept Econ, St Augustine, Trinidad Tobago

来源：

ANZIAM JOURNAL | 2016年 / 58卷 / 02期

关键词：

jump diffusion; stochastic volatility; partial differential equations; Hamilton-Jacobi-Bellman equations; viscosity solutions;

D O I：

10.1017/S1446181116000171

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A new approach to jump diffusion is introduced, where the jump is treated as a vertical shift of the price (or volatility) function. This method is simpler than the previous methods and it is applied to the portfolio model with a stochastic volatility. Moreover, closed-form solutions for the optimal portfolio are obtained. The optimal closed-form solutions are derived when the value function is not smooth, without relying on the method of viscosity solutions.

引用

页码：182 / 186

页数：5

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