A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
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Publication:2230761
DOI10.1007/s11579-021-00295-0zbMath1471.91560OpenAlexW3138447687MaRDI QIDQ2230761
Carlo Sgarra, Guillaume Bernis, Riccardo Brignone, Simone Scotti
Publication date: 28 September 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-021-00295-0
stochastic volatilityleverage effectHawkes processesVIXexponential affine processesimplied volatility for VIX optionsjump clusters
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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