Polynomial Jump-Diffusion Models (Q5119413)

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scientific article; zbMATH DE number 7243693
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Polynomial Jump-Diffusion Models
scientific article; zbMATH DE number 7243693

    Statements

    title
    Polynomial Jump-Diffusion Models (English)
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    author
    Damir Filipović
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    Martin Larsson
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    publication date
    4 September 2020
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    Mathematics Subject Classification ID
    60J25
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    60J60
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    91G20
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    60H30
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    zbMATH DE Number
    7243693
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    zbMATH Keywords
    polynomial jump diffusions
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    affine jump diffusions
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    polynomial transformations
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    conditional Lévy processes
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    Lévy time change
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    asset pricing models
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    stochastic volatility
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    OpenAlex ID
    W3121498469
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    arXiv ID
    1711.08043
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    cites work
    Q3138332
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    Q3992729
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    Q4778955
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    Q5493554
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    Q4349224
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    Q4226355
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    Q4937701
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    Q5514887
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