A new self-exciting jump-diffusion process for option pricing
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process.
https://wsc.project.cwi.nl/abcxva/overview-research-programme/publications/esr1-luis-souto/luis-souto-paper.pdf/view
https://wsc.project.cwi.nl/abcxva/logo.png
A new self-exciting jump-diffusion process for option pricing
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process.