Pricing path-dependent options under the Hawkes jump diffusion process
type: Item
instance of: scholarly article
title: Pricing path-dependent options under the Hawkes jump diffusion process
author: Xingchun Wang
published in: Journal of Industrial and Management Optimization
publication date: 2022-11-14T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 7616036
zbMATH Keywords: fader options
zbMATH Keywords: path-dependent options
zbMATH Keywords: Hawkes jump diffusion processes
zbMATH Keywords: default risk
zbMATH Keywords: jump risk
MaRDI profile type: Publication
full work available at URL: jimo.2022024
OpenAlex ID: W4214674582
cites work: On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
cites work: Spectra of some self-exciting and mutually exciting point processes
cites work: Q5649230
cites work: Valuing vulnerable geometric Asian options
cites work: Pricing vulnerable path-dependent options using integral transforms
cites work: The credit risk and pricing of OTC options
cites work: Exchange options under clustered jump dynamics
cites work: Option pricing when underlying stock returns are discontinuous
cites work: On Lewis' simulation method for point processes
cites work: Pricing vulnerable power exchange options in an intensity based framework
cites work: Pricing power exchange options with Hawkes jump diffusion processes
cites work: A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes''
cites work: Pricing vulnerable options with stochastic volatility
cites work: Pricing vulnerable options with jump risk and liquidity risk
cites work: Pricing vulnerable options under a stochastic volatility model
DOI: 10.3934/JIMO.2022024
description: scientific article; zbMATH DE number 7616036