transform analysis and asset pricing for affine jump-diffusions（对仿射变换分析和资产定价jump-diffusions）.pdfVIP

Ž . Econometrica, Vol. 68, No. 6 November, 2000 , 1343 1376 TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSIONS BY DARRELL DUFFIE, JUN PAN, AND KENNETH SINGLETON 1 In the setting of ‘‘affine’’ jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option ‘smirks’ of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both jump amplitude as well as jump timing. KEYWORDS: Affine jump diffusions, option pricing, stochastic volatility, Fourier trans- form. 1. INTRODUCTION IN VALUING FINANCIAL SECURITIES in an arbitrage-free environment, one in- evitably faces a trade-off between the analytical and computational tractability of pricing and estimation, and the complexity of the probability model for the state vector X . In light of this trade-off, academics and practitioners alike have found it convenient to impose sufficient structure on the conditional distribution of X to give closed- or nearly closed-form expressions for securities prices. An assumption that has proved to be