Automatically derive closed-form moment and covariance formulas of any order for some Affine Jump Diffusion models.
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Updated
Sep 20, 2024 - Python
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affine-jump-diffusion
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Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method
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Updated
Aug 25, 2024 - R
Simulation of Affine Jump Diffusions Using Broadie-Kaya Method
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Aug 25, 2024 - R
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