Economy – Quantitative Finance – Pricing of Securities
Scientific paper
2010-10-14
Economy
Quantitative Finance
Pricing of Securities
More financial applications are added. 36 pages, 5 figures
Scientific paper
This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with the affine process via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode at a given time. In these two cases, we also compute the long-term growth rate and the explosion rate for exponential moments. These results provide a handle to study implied volatility asymptotics in models where returns of stock prices are described by affine processes whose exponential moments do not have an explicit formula.
Jena Rudra P.
Kim Kyoung-Kuk
Xing Hao
No associations
LandOfFree
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-285321