Affine Processes and Application in Finance
Technical Working Paper 0281
DOI 10.3386/t0281
Issue Date
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.
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Copy CitationDarrel Duffie, Damir Filipović, and Walter Schachermayer, "Affine Processes and Application in Finance," NBER Working Paper t0281 (2002), https://doi.org/10.3386/t0281.
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