A switching self-exciting jump diffusion process for stock prices
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Publication:2000696
DOI10.1007/s10436-018-0340-5zbMath1417.91502OpenAlexW2873961620WikidataQ129154284 ScholiaQ129154284MaRDI QIDQ2000696
Donatien Hainaut, Franck Moraux
Publication date: 28 June 2019
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-01909772/file/Hainaut_A%20switching%20self-exciting%20jump.pdf
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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