Asian options pricing in Hawkes-type jump-diffusion models

DOI10.1007/S10436-019-00352-1MaRDI QIDQ2174173zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

option pricingCOS methodHawkes processesaffine processesAsian optionsjumps 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)

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Cites work

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Cited in

(14)

• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• Moments of integrated exponential Lévy processes and applications to Asian options pricing
• Hawkes processes in energy markets: modelling, estimation and derivatives pricing
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
• 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
• scientific article; zbMATH DE number 7234807 (Why is no real title available?)
• scientific article; zbMATH DE number 6531299 (Why is no real title available?)
• The rough Hawkes Heston stochastic volatility model
• scientific article; zbMATH DE number 6129889 (Why is no real title available?)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
• scientific article; zbMATH DE number 7296052 (Why is no real title available?)
• Pricing Asian options in a semimartingale model
• Interest Rates Term Structure Models Driven by Hawkes Processes

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