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Fred Espen Benth
Information about the author Fred Espen Benth will soon be added to the site.
Found
2 papers
in total
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Pricing of basket options using univariate normal inverse gaussian approximations
2011
In this paper we study the approximation of a sum of assets having marginal...
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type
2003
We study Merton's classical portfolio optimization problem for an investor who can...
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