Cheng, Peng; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
We aim at accommodating the existing affine jump-diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class. We give a complete characterization of the dynamics of this class by stating explicitly the structural constraints, as well as the...