Pricing path-dependent options under the Hawkes jump diffusion process

DOI10.3934/jimo.2022024OpenAlexW4214674582MaRDI QIDQ2097472

Xingchun Wang

Publication date: 14 November 2022

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

Full work available at URL: https://doi.org/10.3934/jimo.2022024

zbMATH Keywords

jump riskpath-dependent optionsdefault riskfader optionsHawkes jump diffusion processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• On Lewis' simulation method for point processes
• Exchange options under clustered jump dynamics
• Option pricing when underlying stock returns are discontinuous
• Spectra of some self-exciting and mutually exciting point processes

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