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
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Published:2025-01
Issue:
Volume:454
Page:116177
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ISSN:0377-0427
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Container-title:Journal of Computational and Applied Mathematics
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language:en
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Short-container-title:Journal of Computational and Applied Mathematics
Author:
Souto Arias Luis A.ORCID,
Cirillo Pasquale,
Oosterlee Cornelis W.