TY - JOUR
T1 - Consumption and portfolio decisions of a rational agent that has access to an american put option on an underlying asset with stochastic volatility
AU - Martínez-Palacios, Ma Teresa V.
AU - Venegas-Martínez, Francisco
AU - Sánchez, José Francisco Martínez
N1 - Publisher Copyright:
© 2015 Academic Publications, Ltd.
PY - 2015
Y1 - 2015
N2 - This paper is aimed at developing a model of a risk-averse rational consumer that has an initial wealth and faces the decision to allocate his wealth between consumption and investment in a portfolio of assets in a finite time horizon of stochastic length, so as to maximize his/her expected total utility. Particularly, the agent may invest in an American put option on an asset with stochastic volatility. Finally, the valuation of the American put option is carried out by using the Monte Carlo method.
AB - This paper is aimed at developing a model of a risk-averse rational consumer that has an initial wealth and faces the decision to allocate his wealth between consumption and investment in a portfolio of assets in a finite time horizon of stochastic length, so as to maximize his/her expected total utility. Particularly, the agent may invest in an American put option on an asset with stochastic volatility. Finally, the valuation of the American put option is carried out by using the Monte Carlo method.
KW - American contingent claims
KW - Continuous time stochastic optimal control
KW - Monte Carlo simulation
KW - Stochastic volatility
UR - http://www.scopus.com/inward/record.url?scp=84937159129&partnerID=8YFLogxK
U2 - 10.12732/ijpam.v102i4.10
DO - 10.12732/ijpam.v102i4.10
M3 - Artículo
SN - 1311-8080
VL - 102
SP - 711
EP - 732
JO - International Journal of Pure and Applied Mathematics
JF - International Journal of Pure and Applied Mathematics
IS - 4
ER -