Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

The aim of this paper is to accommodating the existing affine jump- diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class.

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Year of publication:	2002-11-01
Authors:	Cheng, Peng ; Scaillet, Olivier
Institutions:	International Center for Financial Asset Management and Engineering <Genève>
Subject:	Optionspreistheorie \| Volatilität \| Lineares Modell \| Verallgemeinerte Fourier-Transformation \| Generalized Fourier transform

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Introduction
Characterization of LQJD modelling
The transforms
Option pricing in the LQJD setting
A two-factor stochastic volatility model: a numerical example

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005843429