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26-026/III - Characteristic Function-Based Factor Modeling of Affine Jump-Diffusions using Options

  • Authors
    H. Peter Boswijk, University of Amsterdam; Roger J. A. Laeven, University of Amsterdam; Niels Marijnen, University of Amsterdam; Evgenii Vladimirov, Erasmus University Rotterdam
  • Publication date
    May 29, 2026
  • Keywords
    Options; Factor Model; Characteristic Function; Affine Jump-Diffusion
  • JEL
    C14, C38, G13
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