Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
parameters, while the numerical wealth equivalent loss (WEL) analysis shows good performance of the Heston solution, with a quite … inferior performance of the Merton solution.The solution is extended to two dimensions under the multivariate affine GARCH in …