On the construction of non-affine jump-diffusion models
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DOI: 10.1080/07362994.2017.1333008
Abstract: ABSTRACT We describe a method for construction of jump analogues of certain one-dimensional diffusion processes satisfying solvable stochastic differential equations. The method is based on the reduction of the original stochastic differential equations to the… read more here.
Keywords: jump diffusion; jump; diffusion; affine jump ... See more keywords