DMCA
Transform Analysis and Asset Pricing for Affine Jump-Diffusions (2000)
Cached
Download Links
| Venue: | Econometrica |
| Citations: | 710 - 38 self |
BibTeX
@ARTICLE{Duffie00transformanalysis,
author = {Darrell Duffie and Jun Pan and Kenneth Singleton},
title = {Transform Analysis and Asset Pricing for Affine Jump-Diffusions},
journal = {Econometrica},
year = {2000},
volume = {68},
pages = {1343--1376}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
In the setting of ‘‘affine’ ’ jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option ‘smirks ’ of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both jump amplitude as well as jump timing.
Keyphrases
affine jump-diffusions asset pricing transform analysis analytical treatment underlying asset price stochastic volatility fourier transforms option valuation wide range option smirk special case affine jump-diffusion state process intensity-based model example application jump timing joint distribution fixed-income pricing model illustrative example various laplace option-pricing application econometric problem jump amplitude
