Option Pricing in Affine Generalized Merton Models
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Publication:4976500
DOI10.1007/978-3-319-45875-5_10zbMath1367.91173arXiv1512.03677OpenAlexW2191191247MaRDI QIDQ4976500
Christian Bayer, John G. M. Schoenmakers
Publication date: 31 July 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.03677
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Cites Work
- Affine processes and applications in finance
- Holomorphic transforms with application to affine processes
- Analysis of Fourier Transform Valuation Formulas and Applications
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
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