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Deriving exact moments in the Jiang (2002) model
We are trying to implement a model proposed by Jiang (2002) [ http://papers.ssrn.com/sol3/papers.c...ract_id=639768 ]including a Heston-type stoch. vol., random jumps (Poisson intensity, lognormal size) and a CIR-type stoch. interest rate process. The benefits of Jiang's model is that we are...