Utility-based pricing of stochastic income
<p>In this thesis we investigate an optimal investment problem for an investor who also receives an unhedegable stochastic income stream. We extend the log-Brownian model of Henderson to a stochastic volatility model where the underlying market is incomplete and the income is a function of the...
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| Format: | Thesis |
| Language: | English |
| Published: |
2012
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