Generalized Transform Analysis of Affine Processes And Asset Pricing Applications ∗

@inproceedings{Chen2009GeneralizedTA,
  title={Generalized Transform Analysis of Affine Processes And Asset Pricing Applications ∗},
  author={Hui Chen and Scott Joslin},
  year={2009}
}
Nonlinearity is an important consideration in many applications of finance and economics, such as pricing securities, computing equilibria, and conducting structural estimations. This paper extends the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general class of nonlinear transforms for affine jump diffusions. We illustrate the power of the generalized transform through several motivating examples as well as detailed analysis of three problems… CONTINUE READING
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