Affine processes and applications in finance
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Open Access
- 1 August 2003
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 13 (3) , 984-1053
- https://doi.org/10.1214/aoap/1060202833
Abstract
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state 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.Keywords
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