Polynomial processes and their applications to mathematical finance

Cuchiero, Christa, Keller-Ressel, Martin, Teichmann, Josef . Finance and Stochastics 2012. 16 (4) :711-740

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Bibtex

@article{CIS-260772,
  Author = {Cuchiero, Christa and Keller-Ressel, Martin and Teichmann, Josef},
  Title = {Polynomial processes and their applications to mathematical finance},
  Journal = {Finance and Stochastics},
  Volume = {16},
  Number = {4},
  Year = {2012},
  Pages = {711--740},
  Keywords = {Markov processes, Affine processes, hedging, Pricing, diffusions with jumps, analytic tractability}
}

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