Pricing and hedging foreign equity options under Hawkes jump-diffusion processes

DOI10.1016/j.physa.2019.122645OpenAlexW2974830853WikidataQ127232926 ScholiaQ127232926MaRDI QIDQ2164552

Dongtao Pan, Yong Ma, Weidong Xu, Keshab Shrestha

Publication date: 15 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122645

zbMATH Keywords

Fourier transformHawkes processesclustered jumpsforeign equity options

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (4)

LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps

Cites Work

• Structural credit risk modelling with Hawkes jump diffusion processes
• Option pricing with mean reversion and stochastic volatility
• Pricing foreign equity option with stochastic volatility
• A general framework for time-changed Markov processes and applications
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• Affine Point Processes and Portfolio Credit Risk
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Hawkes model for price and trades high-frequency dynamics
• Spectra of some self-exciting and mutually exciting point processes

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