Affine Heston model style with self-exciting jumps and long memory (Q6536770)
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scientific article; zbMATH DE number 7846511
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine Heston model style with self-exciting jumps and long memory |
scientific article; zbMATH DE number 7846511 |
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Affine Heston model style with self-exciting jumps and long memory (English)
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13 May 2024
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Hawkes process
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memory kernel
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stochastic volatility
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option pricing
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