Optimal option portfolio with time-varying volatility

ZHOU Chunyang, WU Chongfeng

Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (10) : 2635-2643.

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Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (10) : 2635-2643. DOI: 10.12011/SETP2021-2201

Optimal option portfolio with time-varying volatility

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2022, 42(10): 2635-2643 https://doi.org/10.12011/SETP2021-2201

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