Affine processes and applications in finance

• 成果类型: Article
• 署名作者: Duffie, D; Filipovic, D; Schachermayer, W
• 署名单位: Stanford University; Technische Universitat Wien; Princeton University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2003
• 页码: 984-1053
• 关键词: term structure models; asset pricing-models; stochastic volatility; interest-rates; ROSS MODEL; options; RISK; bond; DIFFUSIONS; INGERSOLL

摘要

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.