A self-exciting threshold jump-diffusion model for option valuation
type: Item
instance of: scholarly article
title: A self-exciting threshold jump-diffusion model for option valuation
zbMATH Open document ID: 1369.91185
author: Tak Kuen Siu
published in: Insurance Mathematics \& Economics
publication date: 2016-11-21T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6654908
zbMATH Keywords: option valuation
zbMATH Keywords: self-exciting threshold model
zbMATH Keywords: generalized Esscher transform
zbMATH Keywords: piecewise linear partial differential equation
zbMATH Keywords: quadratic approximation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2016.05.008
OpenAlex ID: W2401257423
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DOI: 10.1016/J.INSMATHECO.2016.05.008
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