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Affine Pricing Models from Group Quantization and Holonomy

Garcia, Santiago
arXiv (All) · Papers
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mathematical-finance
The analytic tractability of affine pricing models is usually expressed through two complementary formulations: a coordinate-space pricing operator and an exponential-affine transform representation governed by generalized Riccati equations. We develop \emph{Affine Holonomy Group Quantization} (AHGQ
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