Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility

International Review of Financial Analysis 2026

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Authors: Puneet Pasricha, Xin‐Jiang He

DOI: 10.1016/j.irfa.2026.105095

Cited by: 10

References: 31

Fields of Study & Subjects

Stochastic processes and financial applications Point processes and geometric inequalities Diffusion and Search Dynamics

References 31