Rudra Jena

Independent

SCHOLARLY PAPERS

1

DOWNLOADS

0

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Long-Term and Blow-Up Behaviors of Exponential Moments in Multi-Dimensional Affine Diffusions

Stochastic Processes and their Applications, vol. 122, 2961-2993
Posted: 30 Dec 2013
Rudra Jena, Kyoung-Kuk Kim and Hao Xing
Independent, Korea Advanced Institute of Science and Technology and Boston University - Questrom School of Business

Abstract:

Loading...

Affine diffusions; Exponential moments; Riccati differential equations; Implied volatility