A self-exciting switching jump diffusion : properties, calibration and hitting time
Donatien Hainaut and Griselda Deelstra
| Year of publication: |
2019
|
|---|---|
| Authors: | Hainaut, Donatien ; Deelstra, Griselda |
| Subject: | Jump diffusion | Self-exciting process | Switching process | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1501511 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194661