Exchange options under clustered jump dynamics

DOI10.1080/14697688.2019.1704045MaRDI QIDQ5139207zbMATH OpenOpenAlexFDO

Authors Yong Ma, Dongtao Pan, Tianyang Wang

Publication date 7 December 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10217/206706

zbMATH Keywords

exchange optionGreeksHawkes jump-diffusion processimplied betaoptimal hedging

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• scientific article; zbMATH DE number 6520216 (Why is no real title available?)
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Cited in

(11)

• Cliquet option pricing with Meixner processes
• Pricing power exchange options with Hawkes jump diffusion processes
• Pricing path-dependent options under the Hawkes jump diffusion process
• Exchange Options Under Jump-Diffusion Dynamics
• Entropic two-asset option
• Pricing Cliquet Options in Jump-Diffusion Models
• Modeling clusters in streamflow time series based on an affine process
• Pricing exchange options under hybrid stochastic volatility and interest rate models
• Exchange option pricing under the hybrid exponential jump diffusion model
• Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
• Valuing vulnerable Asian options under contagion dynamics

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