Analytical representations for the basic affine jump diffusion

DOI10.1016/J.ORL.2015.12.003zbMATH Open1408.60077OpenAlexW2203226164MaRDI QIDQ1785484FDOQ1785484

Authors Lingfei Li, Rafael Mendoza-Arriaga, Daniel Mitchell 

Publication date 28 September 2018

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2015.12.003

zbMATH Keywords

subordinationtransition densitybasic affine jump diffusion

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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Cited In (5)

• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
• A PDE approach to jump-diffusions
• Affine diffusions and related processes: simulation, theory and applications
• Density approximations for multivariate affine jump-diffusion processes
• Variance swaps on defaultable assets and market implied time-changes

Uses Software

• DLMF

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