Affine Processes and Application in Finance
D. Duffie, D. Filipovic, W. Schachermayer
NBER Technical Working Paper No. 281
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.
Document Object Identifier (DOI): 10.3386/t0281
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