Pricing power exchange options with Hawkes jump diffusion processes

DOI10.3934/jimo.2019103zbMath1476.91189OpenAlexW2978515545MaRDI QIDQ2031319

Puneet Pasricha, Anubha Goel

Publication date: 9 June 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019103

zbMATH Keywords

change of measureHawkes processjump clusteringjump diffusionpower exchange options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY ⋮ Valuation of equity-indexed annuities under correlated jump-diffusion processes ⋮ Pricing path-dependent options under the Hawkes jump diffusion process

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