In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential multivariate general compound Hawkes processes and limit theorems...

This paper deals with the valuation of European and American put options in jump diffusion models. A new integral transform framework for solving the partial integro-differential equation (PIDE) inherent in pricing problems is proposed. In the case of European options the solution is a single...

In 2009, Avellaneda and Lipkin (A&L) proposed a dynamic model for hard-to-borrow stocks, in which the stock price and the buy-in rate, an additional factor introduced by them, are full coupled. In order to obtain a semi-explicit pricing formula for European call options, A&L had to make an...