A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process |
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (English)
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28 September 2021
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stochastic volatility
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Hawkes processes
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jump clusters
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leverage effect
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exponential affine processes
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VIX
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implied volatility for VIX options
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