375 citations · 608 across the 47 of their papers we have counts for
3 papers · 1 filter
A new self-exciting jump-diffusion process for option pricing
Luis A. Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee
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…
Positive Stochastic Collocation for the Collocated Local Volatility Model
Fabien Le Floc'h, Cornelis W. Oosterlee
This paper presents how to apply the stochastic collocation technique to assets that can not move below a boundary. It shows that the polynomial collocation towards a lognormal dis…
Pricing Bermudan options under local Lévy models with default
Anastasia Borovykh, Cornelis W. Oosterlee, Andrea Pascucci
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local…