Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
type: Item
instance of: scholarly article
title: Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
zbMATH Open document ID: 1256.60025
author: Rudra P. Jena
author: Kyoung-Kuk Kim
author: Hao Xing
published in: Stochastic Processes and their Applications
publication date: 2012-07-20T00:00:00Z
full work available at URL: https://arxiv.org/abs/1010.2865
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6059069
zbMATH Keywords: affine diffusions
zbMATH Keywords: exponential moments
zbMATH Keywords: Riccati differential equations
zbMATH Keywords: implied volatility
MaRDI profile type: Publication
OpenAlex ID: W3122498348
arXiv ID: 1010.2865
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DOI: 10.1016/J.SPA.2012.05.007
review text: 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.
description: scientific article; zbMATH DE number 6059069