Affine processes and applications in finance

Annals of Applied Probability

Volumn 13, Issue 3, 2003, Pages 984-1053

  Duffie, D ^a,d   Filipovic D ^b   Schachermayer, W ^c  

^a STANFORD UNIVERSITY   (United States)

^b PRINCETON UNIVERSITY   (United States)

^c VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^d STANFORD UNIVERSITY   (United States)

Author keywords

Affine process; Characteristic function; Continuous state branching with immigration; Default risk; Infinitely decomposable; Interest rates; Option pricing; Ornstein Uhlenbeck type

Indexed keywords

EID: 0142046301     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1060202833     Document Type: Article

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