Affine Processes and Application in Finance

  • 1 January 2002
    • preprint
    • Published in RePEc
Abstract
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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