Affine Stochastic Volatility Models : Supplementary Material

Affine jump diffusion models in general and affine stochastic volatility models in particular are important modeling tools in finance. Their popularity resides in their exibility coupled with their analytical tractability, especially with respect to characteristic functions and polynomial moments. Within a generic affine jump diffusion model and a generic stochastic volatility model, nested in the former as a special case, this paper collects explicit expressions for various characteristic functions and polynomial moments

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Year of publication:	2019
Authors:	Dillschneider, Yannick
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory

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