Consistency Problems for Jump‐diffusion Models
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Publication:5312580
DOI10.1080/1350486042000297234zbMath1151.91477arXivcs/0501055OpenAlexW2024282392MaRDI QIDQ5312580
Erhan Bayraktar, Li Chen, H. Vincent Poor
Publication date: 1 September 2005
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cs/0501055
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Cites Work
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- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
- Consistency problems for Heath-Jarrow-Morton interest rate models
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