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

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Title not available (Why is that?)
• Empirical properties of asset returns: stylized facts and statistical issues
• Note on the inversion theorem
• On the exact computation of the density and of the quantiles of linear combinations of \(t\) and \(F\) random variables
• Affine point processes and portfolio credit risk
• Affine processes and applications in finance
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Limit theorems for nearly unstable Hawkes processes
• Affine fractional stochastic volatility models
• Post-'87 crash fears in the S\&P 500 futures option market
• Volatility is rough
• Heterogeneous volatility cascade in financial markets
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• A switching self-exciting jump diffusion process for stock prices
• Moment generating function of non-Markov self-excited claims processes
• Closed-form implied volatility surfaces for stochastic volatility models with jumps
• Quadratic Hawkes processes for financial prices
• Valuation of annuity guarantees under a self-exciting switching jump model
• Processes for stocks capturing their statistical properties from one day to one year

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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