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. doi:10.1017/S1446181116000171
@article{8582,
title = {A note on a new approach to both price and volatility jumps: an application to the portfolio model},
journal = {ANZIAM Journal},
volume = {58},
year = {2017},
doi = {10.21914/anziamj.v58i0.8582},
language = {EN},
url = {http://dml.mathdoc.fr/item/8582}
}
Alghalith, Moawia. A note on a new approach to both price and volatility jumps: an application to the portfolio model. ANZIAM Journal, Tome 58 (2017) . doi : 10.21914/anziamj.v58i0.8582. http://gdmltest.u-ga.fr/item/8582/