A self-exciting threshold jump-diffusion model for option valuation
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Cited in
(13)- A switching self-exciting jump diffusion process for stock prices
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
- Option valuation by a self-exciting threshold binomial model
- A Markov chain approximation scheme for option pricing under skew diffusions
- A generalized Esscher transform for option valuation with regime switching risk
- Option pricing with threshold diffusion processes
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- European option pricing with market frictions, regime switches and model uncertainty
- Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
- Mean-field social optimization for linear-quadratic Markov switching systems with Poisson jumps
- Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation
- Pricing European vanilla options under a jump-to-default threshold diffusion model
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