Transform Analysis and Asset Pricing for Affine Jump-diffusions
仿射跳跃扩散的变换分析与资产定价
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 for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines…