Affine processes and applications in finance

DOI10.1214/aoap/1060202833zbMath1048.60059OpenAlexW2001244105MaRDI QIDQ1425484

Walter Schachermayer, J. Darrell Duffie, Damir Filipović

Publication date: 21 March 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1060202833

zbMATH Keywords

option pricing default risk affine process Ornstein-Uhlenbeck type process continuous-state branching with immigration

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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