Asian options pricing in Hawkes-type jump-diffusion models

DOI10.1007/S10436-019-00352-1zbMath1433.91170OpenAlexW2971148889WikidataQ127312909 ScholiaQ127312909MaRDI QIDQ2174173

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

zbMATH Keywords

option pricing Asian options COS method Hawkes processes affine processes jumps clustering

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76)

Related Items (3)

Moments of integrated exponential Lévy processes and applications to Asian options pricing ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process

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