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Option pricing in affine generalized Merton models. (English) Zbl 1367.91173

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 219-239 (2016).
MSC:  91G20 60J75 91G60
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