Open AccessPricing power exchange options with hawkes jump diffusion processes
Author(s) -
Puneet Pasricha,
Anubha Goel
Publication year - 2021
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2019103
Subject(s) - jump diffusion , jump , valuation (finance) , econometrics , cluster analysis , valuation of options , exponential function , jump process , capital asset pricing model , computer science , economics , mathematics , finance , physics , artificial intelligence , mathematical analysis , quantum mechanics