"The Heston-Queue-Hawkes process: A new self-exciting jump-diffusion model ..."

Luis Antonio Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee (2025)

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DOI: 10.1016/J.CAM.2024.116177

access: open

type: Journal Article

metadata version: 2025-03-03

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Luis Antonio Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee:
The Heston-Queue-Hawkes process: A new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions. J. Comput. Appl. Math. 454: 116177 (2025)

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