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

DOI10.1007/S10436-023-00436-ZMaRDI QIDQ6536770zbMATH OpenFDO

Authors Charles Guy Njike Leunga, Donatien Hainaut

Publication date 13 May 2024

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

Full work available at URL https://doi.org/10.1007/S10436-023-00436-Z

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)

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Cites work

• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
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• Valuation of annuity guarantees under a self-exciting switching jump model
• Volatility is rough

Cited in

(4)

• Option pricing in a sentiment-biased stochastic volatility model
• A fractional Hawkes process for illiquidity modeling
• 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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