TY  - JOUR
AU  - Duffie,Darrell
AU  - Pan,Jun
AU  - Singleton,Kenneth
TI  - Transform Analysis and Asset Pricing for Affine Jump-Diffusions
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7105
PY  - 1999
Y2  - April 1999
UR  - http://www.nber.org/papers/w7105
L1  - http://www.nber.org/papers/w7105.pdf
N1  - Author contact info:
Darrell Duffie
Graduate School of Business
Stanford University
Stanford, CA  94305-5015
Tel: 650/723-1976
Fax: 650/725-7979
E-Mail: duffie@stanford.edu

Jun Pan
MIT Sloan School of Management
100 Main Street, E62-624
Cambridge, MA 02142
Tel: 617/253-3083
Fax: 617/258-6855
E-Mail: junpan@mit.edu

Kenneth J. Singleton
Graduate School of Business
Knight Management Center
Stanford University
Stanford, CA 94305
Tel: 650/723-5753
Fax: 650/725-6152
E-Mail: kenneths@stanford.edu
AB  - 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 intensityy-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 amplitude as well as jump timing.
ER  -