Asian options pricing in Hawkes-type jump-diffusion models
DOI10.1007/S10436-019-00352-1zbMATH Open1433.91170OpenAlexW2971148889WikidataQ127312909 ScholiaQ127312909MaRDI QIDQ2174173FDOQ2174173
Authors: Riccardo Brignone, Carlo Sgarra 
Publication date: 20 April 2020
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-019-00352-1
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76)
Cites Work
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Cited In (14)
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Pricing Asian options in a semimartingale model
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Interest Rates Term Structure Models Driven by Hawkes Processes
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Title not available (Why is that?)
- The rough Hawkes Heston stochastic volatility model
- Title not available (Why is that?)
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- Title not available (Why is that?)
- An efficient unified approach for spread option pricing in a copula market model
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Title not available (Why is that?)
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