An Investment and Consumption Problem with CIR Interest Rate and Stochastic Volatility

We are concerned with an investment and consumption problem with stochastic interest rate and stochastic volatility, in which interest rate dynamic is described by the Cox-Ingersoll-Ross (CIR) model and the volatility of the stock is driven by Heston’s stochastic volatility model. We apply stochasti...

Full description

Bibliographic Details
Main Authors: Hao Chang, Xi-min Rong
Format: Article
Language:English
Published: Hindawi Limited 2013-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2013/219397