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Exact Solutions of the Transform of Term Structure of Interest Rates under Levy Jumps

Xiangdong Liu, Xiaojuan Hu


This paper synthesizes and significantly extends the literature on affine asset-pricing models by deriving exact-form expressions for three types transform of an AJD process X, and then these transforms lead to analytically tractable pricing relations for a wide variety of valuation problems. In
addition, the applications of this model for the fixed-income pricing model and a wide range of option-pricing model, are mentioned in this paper.

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