کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156788 | 958868 | 2012 | 33 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode at a given time. In these two cases, we also compute the long-term growth rate and the explosion rate for exponential moments. These results provide a handle to study implied volatility asymptotics in models where log-returns of stock prices are described by affine processes whose exponential moments do not have an explicit formula.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 8, August 2012, Pages 2961–2993
Journal: Stochastic Processes and their Applications - Volume 122, Issue 8, August 2012, Pages 2961–2993
نویسندگان
Rudra P. Jena, Kyoung-Kuk Kim, Hao Xing,