Generalized Transform Analysis of Affine Processes and Applications in Finance
Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities and solving equilibrium models. This article provides analytical treatment of a general class of nonlinear transforms for processes with tractable conditional characteristic functions. We...
| Main Authors: | , |
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| Format: | Article |
| Language: | en_US |
| Published: |
Oxford University Press
2012
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| Online Access: | http://hdl.handle.net/1721.1/74650 https://orcid.org/0000-0001-9605-641X |