In this paper, we study a robust, dynamic, continuous-time optimal consumption and portfolio
allocation problem for investors with recursive preferences who have access to both stock …

Solving differential equations is crucial in diverse fields, including finance, where accurate
pricing of financial products is essential for risk management and market analysis. The …

The celebrated Heston's stochastic volatility (SV) model for the valuation of European
options provides closed form solutions that are given in terms of characteristic functions …

We present the Generalized Gamma (GG) distribution as a possible risk neutral distribution
(RND) for modeling European options prices under Heston's stochastic volatility (SV) model …

This paper examines the application of the Black-Scholes, Heston and Bates stochastic
models to financial products using structured notes as an example in order to determine …