Affine Heston model style with self-exciting jumps and long memory

DOI10.1007/S10436-023-00436-ZzbMATH Open1539.91134MaRDI QIDQ6536770FDOQ6536770

Authors: Charles Guy Njike Leunga, Donatien Hainaut 

Publication date: 13 May 2024

Published in: Annals of Finance (Search for Journal in Brave)

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zbMATH Keywords

option pricingHawkes processmemory kernelstochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
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• Valuation of annuity guarantees under a self-exciting switching jump model
• Volatility is rough

Cited In (2)

• The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
• A mutually exciting rough jump-diffusion for financial modelling

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