Optimal strategies with option compensation under mean reverting returns or volatilities View Full Text


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Article Info

DATE

2019-02

AUTHORS

Stefano Herzel, Marco Nicolosi

ABSTRACT

We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the volatilities or in the expected returns. We provide an approximation for the optimal wealth and for the optimal strategy based on affine processes and the fast Fourier transform. More... »

PAGES

47-69

References to SciGraph publications

  • 2018-07. Portfolio management with benchmark related incentives under mean reverting processes in ANNALS OF OPERATIONS RESEARCH
  • 2018-05. Optimal strategy for a fund manager with option compensation in DECISIONS IN ECONOMICS AND FINANCE
  • 2002. Spread Option Valuation and the Fast Fourier Transform in MATHEMATICAL FINANCE — BACHELIER CONGRESS 2000
  • 1998. Brownian Motion and Stochastic Calculus in NONE
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s10287-017-0296-3

    DOI

    http://dx.doi.org/10.1007/s10287-017-0296-3

    DIMENSIONS

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