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Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility · Study

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PreprintLinear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

Olivier Scaillet B2003

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Preprintgreen2003

Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

Olivier Scaillet B

48 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1999Option valuation using the fast Fourier transform

Cited by

2006Dynamic Portfolio Choice and Risk Aversion 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models 2006Why the Rotation Count Algorithm Works 2008Saddlepoint approximations for affine jump-diffusion models 2003Conditional Dependency of Financial Series: The Copula-Garch Model 2011Discrete time Wishart term structure models

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELINGarticle · 14 shared references 2009Stochastic Volatilityother · 14 shared references 2010The Econometrics of Option Pricingchapter · 13 shared references 2002Asset Pricing under the Quadratic Classarticle · 12 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 12 shared references 2002Pricing Interest Rate Derivatives: A General Approacharticle · 12 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations48

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.381820

openalex_workW1546214498

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2003Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

2008OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION