Transform analysis and asset pricing for affine jump-diffusions

Econometrica

Volumn 68, Issue 6, 2000, Pages 1343-1376

  Duffie, Darrell ^a   Pan, Jun ^a   Singleton, Kenneth ^a  

^a NONE

Author keywords

Affine jump diffusions; Fourier transform; Option pricing; Stochastic volatility

Indexed keywords

EID: 0001668150     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00164     Document Type: Article

References (22)

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