Transform analysis and asset pricing for affine jump-diffusions

Transform analysis and asset pricing for affine jump-diffusions

Détails bibliographiques
Auteur principal: Duffie, Darrell
Autres auteurs: Pan, Jun, Singleton, Kenneth
Format: Livre
Langue:English
Publié: Cambridge National Bureau of Economic Research 1999.
Collection:NBER working paper series no.7105
Sujets:
Option value > Econometric models.
Options (Finance) > Prices > Econometric models..
Bonds > Valuation > Econometric models.
Jump processes.
Diffusion processes.
Integral functions.