A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Year of publication: |
2021
|
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Authors: | Bernis, Guillaume ; Brignone, Riccardo ; Scotti, Simone ; Sgarra, Carlo |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 4, p. 747-773
|
Subject: | Stochastic volatility | Hawkes processes | Jump clusters | Leverage effect | Exponential affine processes | VIX | Implied volatility for VIX options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Börsenkurs | Share price |
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