Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions

DOI10.1016/j.spa.2012.05.007zbMath1256.60025arXiv1010.2865OpenAlexW3122498348MaRDI QIDQ436302

Rudra P. Jena, Kyoung-Kuk Kim, Hao Xing

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.2865

zbMATH Keywords

implied volatilityexponential momentsaffine diffusionsRiccati differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (max. 100)

Stationarity and Ergodicity for an Affine Two-Factor Model ⋮ Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ On parameter estimation for critical affine processes ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ Existence of limiting distribution for affine processes ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The large-maturity smile for the Heston model
• Affine processes on positive semidefinite matrices
• Affine processes are regular
• Stability analysis of Riccati differential equations related to affine diffusion processes
• Affine processes and applications in finance
• Critical points at infinity and blow up of solutions of autonomous polynomial differential systems via compactification
• Moment explosions in stochastic volatility models
• Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
• A Theory of the Term Structure of Interest Rates
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
• Stability regions of nonlinear autonomous dynamical systems
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Quadratic form of stable sub‐manifold for power systems
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Numerical approximations of strong (un)stable manifolds
• MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Smile Asymptotics II: Models with Known Moment Generating Functions
• Painlevé analysis and normal forms theory

This page was built for publication: Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions