Multivariate Hawkes-based models in limit order book: European and spread option pricing

DOI10.1142/S0219024923500280WikidataQ129149292 ScholiaQ129149292MaRDI QIDQ6644185

Qi Guo, Anatoliy Swishchuk, Bruno Rémillard

Publication date: 27 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricinglimit order bookexponential MGCHP (EMGCHP)LLN and FCLTMargrabe's spread option pricingmultivariate general compound Hawkes process (MGCHP)

Mathematics Subject Classification ID

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

Cites Work

• Duality and convergence for binomial markets with friction
• Liquidity risk and arbitrage pricing theory
• Stochastic calculus for finance. II: Continuous-time models.
• Pricing European options in a discrete time model for the limit order book
• Hedging in an illiquid binomial market
• OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
• Statistical Methods for Financial Engineering
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Pricing and Hedging Spread Options
• LIQUIDITY IN A BINOMIAL MARKET
• Spectra of some self-exciting and mutually exciting point processes
• An Introduction to the Theory of Point Processes

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