Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000; Wiley; Volume: 68; Issue: 6 Linguagem: Inglês
10.1111/1468-0262.00164
ISSN1468-0262
AutoresDarrell Duffie, Jun Pan, Kenneth J. Singleton,
Tópico(s)Financial Markets and Investment Strategies
ResumoEconometricaVolume 68, Issue 6 p. 1343-1376 Transform Analysis and Asset Pricing for Affine Jump-diffusions Darrell Duffie, Darrell Duffie Grad. School of Business, Stanford University, USA,Search for more papers by this authorJun Pan, Jun Pan Sloan School of Management, Massachusetts Institute of Technology, USA,Search for more papers by this authorKenneth Singleton, Kenneth Singleton Grad. School of Business, Stanford University, USASearch for more papers by this author Darrell Duffie, Darrell Duffie Grad. School of Business, Stanford University, USA,Search for more papers by this authorJun Pan, Jun Pan Sloan School of Management, Massachusetts Institute of Technology, USA,Search for more papers by this authorKenneth Singleton, Kenneth Singleton Grad. School of Business, Stanford University, USASearch for more papers by this author First published: 10 December 2003 https://doi.org/10.1111/1468-0262.00164Citations: 2,239AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Abstract In the setting of 'affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both jump amplitude as well as jump timing. References Bakshi, G., C. Cao, and Z. Chen (1997): "Empirical Performance of Alternative Option Pricing Models," Journal of Finance, 52, 2003– 2049. Bakshi, G., and D. Madan (2000): "Spanning and Derivative-Security Valuation," Journal of Financial Economics, 55, 205– 238. Bates, D. (1996): "Jump and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, 9, 69– 107. Bates, D. 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