Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility
Year of publication: |
2002-11
|
---|---|
Authors: | Cheng, Peng ; Scaillet, Olivier |
Institutions: | Swiss Finance Institute |
Subject: | Linear-quadratic models | affine models | jump-diffusions | generalized Fourier transform | option pricing | stochastic volatility |
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