Pricing and hedging foreign equity options under Hawkes jump-diffusion processes

DOI10.1016/J.PHYSA.2019.122645MaRDI QIDQ2164552zbMATH OpenOpenAlexWikidataFDO

Authors Yong Ma, Dongtao Pan, Keshab Shrestha, Weidong Xu

Publication date 15 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.122645

zbMATH Keywords

clustered jumpsforeign equity optionsFourier transformHawkes processes

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A general framework for time-changed Markov processes and applications
• Affine point processes and portfolio credit risk
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Hawkes model for price and trades high-frequency dynamics
• Option pricing with mean reversion and stochastic volatility
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• Pricing foreign equity option with stochastic volatility
• Spectra of some self-exciting and mutually exciting point processes
• Structural credit risk modelling with Hawkes jump diffusion processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(12)

• Pricing foreign equity option with stochastic volatility
• Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
• Closed-form pricing formula for foreign equity option with credit risk
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
• Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity
• scientific article; zbMATH DE number 5260301 (Why is no real title available?)
• Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
• Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models
• Pricing foreign equity options under a regime-switching model with liquidity risk and default risk
• A general approximate computational framework for basket spread options pricing with and without default risk
• A storage system with jump-driven uncertainty and its performance implications

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