Asian options pricing in Hawkes-type jump-diffusion models (Q2174173)
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scientific article; zbMATH DE number 7190832
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| English | Asian options pricing in Hawkes-type jump-diffusion models |
scientific article; zbMATH DE number 7190832 |
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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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0.8309627771377563
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0.8148912787437439
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0.8112577199935913
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0.8106736540794373
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