Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302)
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scientific article; zbMATH DE number 6059069
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions |
scientific article; zbMATH DE number 6059069 |
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Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (English)
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20 July 2012
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affine diffusions
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exponential moments
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Riccati differential equations
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implied volatility
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The authors investigate long-term and blow-up behaviors of exponential moments of affine processes with canonical state space \(\mathbb{R}^m_+\times \mathbb{R}^n\). They treat general multivariate affine process with continuous sample paths, so-called affine diffusions.NEWLINENEWLINEThe results are applied to implied volatility asymptotics in models where log-returns of stock prices are described by affine processes.
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