Consistency Problems for Jump‐diffusion Models
نویسندگان
چکیده
منابع مشابه
Consistency Problems for Jump-Diffusion Models
In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized HeathJarrow-Morton (HJM) models is bridged. By applying the drift condition for a generalized arbitrage-free HJM model, the consistency condition for jumpdiffusion models is derived. Then we ...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2005
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486042000297234