17 citations · 94 across the 18 of their papers we have counts for
4 papers · 1 filter
Risk-neutral option pricing under GARCH intensity model
Kyungsub Lee
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volati…
Performance of tail hedged portfolio with third moment variation swap
Kyungsub Lee, Byoung Ki Seo
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of…
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Kyungsub Lee, Byoung Ki Seo
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model…
Marked Hawkes process modeling of price dynamics and volatility estimation
Kyungsub Lee, Byoung Ki Seo
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended…