Exchange options under clustered jump dynamics

DOI10.1080/14697688.2019.1704045zbMath1454.91302OpenAlexW3003695566MaRDI QIDQ5139207

Dongtao Pan, Yong Ma, Tianyang Wang

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10217/206706

zbMATH Keywords

optimal hedgingGreeksexchange optionHawkes jump-diffusion processimplied beta

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items (1)

Pricing path-dependent options under the Hawkes jump diffusion process

Cites Work

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