Wealth Optimization Models with Stochastic Volatility and Continuous Dividends

YANG Yunfeng, JIN Hao

Abstract


This paper study the problem of wealth optimization.It is established that the behavior model of the stock pricing process is jump-diffusion driven by a count process and stochastic volatility. Supposing that risk assets pay continuous dividend regarded as the function of time. It is proved that the existence of an optimal portfolio and unique equivalent martingale measure by stochastic analysis methods. The unique equivalent martingale measure ,the optimal wealth process, the value function and the optimal portfolio are deduced.
Key words: Jump-Diffusion process; Stochastic volatility; Dividends; Incomplete financial market; Wealth optimization

Keywords


Jump-Diffusion process; Stochastic volatility; Dividends; Incomplete financial market; Wealth optimization

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DOI: http://dx.doi.org/10.3968%2Fj.ibm.1923842820130601.1115

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