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Consistency conditions for affine term structure models

II. Option pricing under diffusions with embdded jumps

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Abstract

Sufficient conditions for the application of the Feynman-Kac formula for option pricing for wide classes of affine term structure models in the jump-diffusion case are derived by generalizing earlier results for bond pricing in the pure-diffusion case

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Authors and Affiliations

  1. Department of Economics, The University of Texas at Austin, 1 University Station C3100, Austin, TX, 78712-0301, USA

    Sergei LevendorskiĬ

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  1. Sergei LevendorskiĬ
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Correspondence to Sergei LevendorskiĬ.

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The author is grateful to Mikhail Chernov and Darrel Duffie for useful discussions and suggestions.

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LevendorskiĬ, S. Consistency conditions for affine term structure models. Annals of Finance 2, 207–224 (2006). https://doi.org/10.1007/s10436-005-0035-6

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  • DOI: https://doi.org/10.1007/s10436-005-0035-6

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