On the construction of non-affine jump-diffusion models
نویسندگان
چکیده
منابع مشابه
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Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuoustime asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Du...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2017
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2017.1333008