Optimal Investment with Transaction Costs and Stochastic Volatility Part II
Author | : Maxim Bichuch |
Publisher | : |
Total Pages | : 24 |
Release | : 2018 |
ISBN-10 | : OCLC:1304490067 |
ISBN-13 | : |
Rating | : 4/5 (67 Downloads) |
Book excerpt: In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, "http://ssrn.com/abstract=2374150" http://ssrn.com/abstract=2374150, we give an accuracy proof for the finite time optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in a time scale parameter and the small transaction cost. The supplemental appendix accompanies this paper is, available at "http://ssrn.com/abstract=3234374" http://ssrn.com/abstract=3234374, in which we prove the verification theorem that the value function is a viscosity solution of the HJB equation.