Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
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.
scientific article; zbMATH DE number 6059069
scientific article