A self-exciting threshold jump-diffusion model for option valuation
From MaRDI portal
Publication:343990
DOI10.1016/j.insmatheco.2016.05.008zbMath1369.91185OpenAlexW2401257423MaRDI QIDQ343990
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.008
quadratic approximationgeneralized Esscher transformoption valuationpiecewise linear partial differential equationself-exciting threshold model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)
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