Josa-Fombellida R, Rincón-Zapatero J P. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates [J]. European Journal of Operational Research,2010,201(1): 211-221.
[3]
Boulier J F,Trussant E,Florens D. A dynamic model for pension funds management.Proceedings of the 5th AFIR International Colloquium,Brussels,September,1995.
[4]
Haberman S,Butt Z,Megaloudi C.Contribution and solvency risk in a defined pension scheme[J].Insurance:Mathematics and Economics,2000,27(2):237-259.
[5]
Haberman S,Vigna E.Optimal investment strategies and risk measures in defined contribution pension schemes[J].Insurance:Mathematics and Economics,2002, 31(1):35-69.
Cox J. The constant elasticity of variance option pricing model [J].The Journal of Portfolio Management,1996,23:16-17.
[9]
Heston S L. A closed-form solution for options with stochastic volatility with applications to bond and currency options[J].The Review of Financial Studies. 1993,6(2):327-343.
Han Jiguang, Gao Ming, Zhangc Qiang,et al. Option prices under stochastic volatility[J]. Applied Mathematics Letters, 2013,26(1): 1-4.
[12]
Kim J, Kim B, Moon K S, et al. Valuation of power options under Heston's stochastic volatility model[J]. Journal of Economic Dynamics & Control,2012,36(11): 1796-1813.
[13]
Li Zhongfei, Zeng Yan, Lai Yongzeng. Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model[J]. Insurance: Mathematics and Economics,2012,51(1): 191-203.
Choulli T,Hurd T R.The role of hellinger processes in mathematical finance[J].Entropy 2001, 3(3):150-161.
[17]
Jonsson M,Sircar R.Optimal investment problems and volatility homogenization approximations[M]//Bourlioux A, Gander M,Sabidussi G.Modern methods in scientific computing and applications. Netherlands:Springer,2002:255-281.
[18]
Xiao Jianwu, Qin Chenglin. Constant elasticity of variance model and analytical strategies for annuity contracts[J]. Applied Mathematics and Mechanics, 2006,27(11):1499-1506.
[19]
Xiao Jianwu, Zhai Hong,Qin Chenglin. The constant elasticity of variance(CEV) model and Legendre transform-dual solution for annuity contracts[J]. Insurance: Mathematics and Economics, 2007,40(2):302-310.
[20]
Cox J C,Huang C F.A variational problem arising in financial economics[J]. Math. Econ,1991, 20(5):465-487.
[21]
Kramkov D,Schachermayer W.The asymptotic elasticity of utility functions and optimal investment in incomplete markets[J].Annals of Applied Probability 1999,9(3):904-950.
