Affine realizations for Lévy-driven term structure models require more severe volatility restrictions than in the classical diffusion case.
(2006): Exact pricing formulae for caps and swaptions in a Lévy term structure model.Journal of Computational Finance9(2), 99–125
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2019 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Existence of affine realizations for L\'evy term structure models
Affine realizations for Lévy-driven term structure models require more severe volatility restrictions than in the classical diffusion case.