Multivariate Hawkes-based models in limit order book: European and spread option pricing (Q6644185)
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scientific article; zbMATH DE number 7950062
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate Hawkes-based models in limit order book: European and spread option pricing |
scientific article; zbMATH DE number 7950062 |
Statements
Multivariate Hawkes-based models in limit order book: European and spread option pricing (English)
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27 November 2024
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multivariate general compound Hawkes process (MGCHP)
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exponential MGCHP (EMGCHP)
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LLN and FCLT
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limit order book
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option pricing
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Margrabe's spread option pricing
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