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"Optimal Investment with High-Watermark Fee in a Multidimensional Jump ..."

Karel Janecek, Zheng Li, Mihai Sîrbu (2020)

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DOI: 10.1137/18M1205066

access: closed

type: Journal Article

metadata version: 2020-10-26

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  - journals/siamfm/JanecekLS20
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  - https://dblp.org/rec/journals/siamfm/JanecekLS20
Karel Janecek, Zheng Li, Mihai Sîrbu:
Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model. SIAM J. Financial Math. 11(3): 750-787 (2020)

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