Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps

DOI10.1007/S10436-005-0035-6zbMath1233.91295OpenAlexW2162236407MaRDI QIDQ665718

Sergei Levendorskii

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-005-0035-6

zbMATH Keywords

Feynman-Kac formulaaffine term structure modelsprocesses with jumps

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

A forward-backward SDE approach to affine models ⋮ Affine fractional stochastic volatility models ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies

Cites Work

• Affine processes and applications in finance
• Consistency conditions for affine term structure models.
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond Market Structure in the Presence of Marked Point Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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