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| Author: | Duffie, D. Pan, J. Singleton, K. |
| Title: | Transform analysis and asset pricing for affine jump- diffusions |
| Journal: | Econometrica
2000 : NOV, VOL. 68:6, p. 1343-1376 |
| Index terms: | DIFFUSION OPTION PRICES STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | In the setting of "affine" jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models with a role of intensity-based models of default, as well as a wide range of option-pricing applications. |
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