Consistency Conditions for Affine Term Structure Models Ii. Option Pricing Under Diffusions with Embedded Jumps
20 Pages Posted: 1 Dec 2004
Date Written: November 30, 2004
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 generalizing earlier results for bond pricing in the pure diffusion case.
Keywords: affine term structure models,Feynman-Kac
JEL Classification: E43
Suggested Citation: Suggested Citation