Transform analysis and asset pricing for affine jump-diffusions

Transform analysis and asset pricing for affine jump-diffusions

Detalles Bibliográficos
Autor Principal: Duffie, Darrell
Outros autores: Pan, Jun, Singleton, Kenneth
Formato: Libro
Idioma:English
Publicado: Cambridge National Bureau of Economic Research 1999.
Series:NBER working paper series no.7105
Subjects:
Option value > Econometric models.
Options (Finance) > Prices > Econometric models..
Bonds > Valuation > Econometric models.
Jump processes.
Diffusion processes.
Integral functions.