Transform analysis and asset pricing for affine jump-diffusions
By: Darrell Duffie, Jun Pan, Kenneth Singleton
Contributors: Pan, Jun.; Singleton, Kenneth J.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 7105; Working paper series (National Bureau of Economic Research) -- working paper no. 7105.
Publisher: National Bureau of Economic Research
Published: 1999
Place of publication: Cambridge, MA
Language: eng
Number of pages: 44
Subjects: Option value -- Mathematical models.; Options (Finance) -- Prices -- Mathematical models.; Options (Finance) -- Valuation -- Mathematical models.; Bonds -- Valuation -- Mathematical models.; Jump processes -- Mathematical models.; Diffusion processes -- Mathematical models.; Functions, Entire -- Mathematical models.
Notes: "April 1999."

JEL no. G1.

Includes bibliographical references (p. 42-44).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.