Abstract
Closed form pricing via Fourier transform methods is the basis for many stochastic volatility models. A general framework has been formulated by Duffie, Pan and Singleton (2000).
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© 2016 Oliver Brockhaus
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Brockhaus, O. (2016). Affine Processes. In: Equity Derivatives and Hybrids. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137349491_16
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DOI: https://doi.org/10.1057/9781137349491_16
Publisher Name: Palgrave Macmillan, London
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