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Affine Heston model style with self-exciting jumps and long memory - MaRDI portal

Affine Heston model style with self-exciting jumps and long memory

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Publication:6536770

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DOI10.1007/s10436-023-00436-zzbMath1539.91134MaRDI QIDQ6536770

Charles Guy Njike Leunga, Donatien Hainaut

Publication date: 13 May 2024

Published in: Annals of Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility option pricing memory kernel Hawkes process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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