Holomorphic transforms with application to affine processes-Reference-Cited by-同舟云学术

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Holomorphic transforms with application to affine processes

Published:2009-08 Issue:4 Volume:257 Page:1222-1250
ISSN:0022-1236
Container-title:Journal of Functional Analysis
language:en
Short-container-title:Journal of Functional Analysis

Author:

Belomestny Denis,Kampen Jörg,Schoenmakers John

Funder

Deutsche Forschungsgemeinschaft

Publisher

Elsevier BV

Subject

Analysis

Reference18 articles.

1. A Course in Enumeration;Aigner,2007

2. Nonilinear integro-differential evolution problems arising in option pricing: A viscosity solutions approach;Amadori;Differential Integral Equations,2003

3. Malliavin Calculus for Processes with Jumps;Bichteler,1987

4. Foundations of Modern Analysis;Dieudonné,1960

5. Affine processes and applications in finance;Duffie;Ann. Appl. Probab.,2003

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option Pricing in Affine Generalized Merton Models;Springer Proceedings in Mathematics & Statistics;2016

2. On a Class of Semi-Elliptic Diffusion Models - Part I: A Constructive Analytical Approach for Global Solutions, Densities and Numerical Schemes with Applications to the LIBOR Market Model;SSRN Electronic Journal;2010

3. Multiple stochastic volatility extension of the Libor market model and its implementation;Monte Carlo Methods and Applications;2009-01

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