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Generalized Transform Analysis of Affine Processes and Applications in Finance
16 references·0 citing·37 second hop
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Income Inequality in the United States, 1913-19983,767 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study

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1,657 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
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