Polynomial Jump-Diffusion Models

@article{Filipovic2017PolynomialJM,
  title={Polynomial Jump-Diffusion Models},
  author={Damir Filipovi'c and Martin Larsson},
  journal={ERN: Asset Pricing Models (Topic)},
  year={2017}
}
We develop a comprehensive mathematical framework for polynomial jump-diffusions, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under exponentiation and subordination. We present a generic method for option pricing based on moment expansions. As an application, we introduce a large class of novel financial asset pricing models that are based on polynomial jump-diffusions. 
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35 Citations

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