Pricing power exchange options with hawkes jump diffusion processes
Work
Year: 2019
Type: article
Abstract: <p style='text-indent:20px;'>In this article, we propose a jump diffusion framework to price the power exchange options. We model the price dynamics of assets using a Hawkes jump diffusion model with ... more
Authors Puneet Pasricha, Anubha Goel
Cites:
Cited by: 17
Related to: 10
FWCI: 2.207
Citation percentile (by year/subfield): 74.67
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: gold