Asian options pricing in Hawkes-type jump-diffusion models
Year of publication: |
2020
|
---|---|
Authors: | Brignone, Riccardo ; Sgarra, Carlo |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 16.2020, 1, p. 101-119
|
Subject: | Asian options | Option pricing | Jumps clustering | Hawkes processes | Affine processes | COS method | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
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