Pricing path-dependent options under the Hawkes jump diffusion process

DOI10.3934/JIMO.2022024MaRDI QIDQ2097472zbMATH OpenOpenAlexFDO

Authors Xingchun Wang

Publication date 14 November 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2022024

zbMATH Keywords

default riskfader optionsHawkes jump diffusion processesjump riskpath-dependent options

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes
• Exchange options under clustered jump dynamics
• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
• On Lewis' simulation method for point processes
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• Option pricing when underlying stock returns are discontinuous
• Pricing power exchange options with Hawkes jump diffusion processes
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable options with jump risk and liquidity risk
• Pricing vulnerable options with stochastic volatility
• Pricing vulnerable path-dependent options using integral transforms
• Pricing vulnerable power exchange options in an intensity based framework
• Spectra of some self-exciting and mutually exciting point processes
• The credit risk and pricing of OTC options
• Valuing vulnerable geometric Asian options

Cited in

(5)

• Pricing and Hedging Path-Dependent Options Under the CEV Process
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
• Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
• scientific article; zbMATH DE number 6305801 (Why is no real title available?)

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