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The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions - MaRDI portal

The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions

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Publication:6593327

DOI10.1016/J.CAM.2024.116177zbMATH Open1542.91405MaRDI QIDQ6593327

Author name not available (Why is that?)

Publication date: 26 August 2024

Published in: (Search for Journal in Brave)




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