Lingfei Li, Rafael Mendoza-Arriaga, Daniel Mitchell. Analytical representations for the basic affine jump diffusion. Oper. Res. Lett., 44(1):121-128, 2016. [doi]
@article{LiMM16,
title = {Analytical representations for the basic affine jump diffusion},
author = {Lingfei Li and Rafael Mendoza-Arriaga and Daniel Mitchell},
year = {2016},
doi = {10.1016/j.orl.2015.12.003},
url = {http://dx.doi.org/10.1016/j.orl.2015.12.003},
researchr = {https://researchr.org/publication/LiMM16},
cites = {0},
citedby = {0},
journal = {Oper. Res. Lett.},
volume = {44},
number = {1},
pages = {121-128},
}