Asian options pricing in Hawkes-type jump-diffusion models (Q2174173): Difference between revisions

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Property / DOI: 10.1007/s10436-019-00352-1 / rank
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Latest revision as of 08:41, 17 December 2024

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Asian options pricing in Hawkes-type jump-diffusion models
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    Asian options pricing in Hawkes-type jump-diffusion models (English)
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    20 April 2020
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    Asian options
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    option pricing
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    jumps clustering
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    Hawkes processes
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    affine processes
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    COS method
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