Polynomial Jump-Diffusion Models

DOI10.1287/stsy.2019.0052zbMath1450.60038arXiv1711.08043OpenAlexW3121498469MaRDI QIDQ5119413

Damir Filipović, Martin Larsson

Publication date: 4 September 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.08043

zbMATH Keywords

stochastic volatilityasset pricing modelspolynomial transformationsaffine jump diffusionsconditional Lévy processesLévy time changepolynomial jump diffusions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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