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Paper / 2024SMQ / 102272228320294
Option Pricing with a Compound CARMA(p,q)-Hawkes
Andrea Perchiazzo / Edit Rroji / Lorenzo Mercuri
jump processes / option pricingResource overview

Option Pricing with a Compound CARMA(p,q)-Hawkes

Paper2024

by Andrea Perchiazzo, Edit Rroji, Lorenzo Mercuri

Tags
jump processesoption pricingstochastic processes

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Understand this paper

Suggested foundations for options and derivatives pricing and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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