英文标题：
《Polynomial Jump-Diffusion Models》
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作者：
Damir Filipovi\\\'c and Martin Larsson
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最新提交年份：
2019
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英文摘要：
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial transformations and L\\\'evy time change. We present a generic method for option pricing based on moment expansions. As an application, we introduce a large class of novel financial asset pricing models with excess log returns that are conditional L\\\'evy based on polynomial jump-diffusions.
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中文摘要：
我们建立了一个半鞅背景下多项式跳跃扩散的综合数学框架，它嵌套了仿射跳跃扩散，在金融领域有着广泛的应用。我们证明了多项式的性质在多项式变换和L′evy时间变化下保持不变。提出了一种基于矩展开的期权定价方法。作为一个应用，我们引入了一大类具有超额对数回报的新型金融资产定价模型，这些模型是基于多项式跳跃扩散的条件L拞evy。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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