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 (Q6593327)
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scientific article; zbMATH DE number 7901810
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
scientific article; zbMATH DE number 7901810 |
Statements
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 (English)
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26 August 2024
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jump clustering
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Queue-Hawkes process
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COS method
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Bermudan option
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volatility smile
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