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pro vyhledávání: '"Anatoliy V. Swishchuk"'
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential multivariate genera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::86a2802ed4269705d08c760497f32d19
http://arxiv.org/abs/2209.07621
http://arxiv.org/abs/2209.07621
Autor:
Anatoliy V. Swishchuk
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7d63f84e72b8f0da9c71d1856ca9fbd
https://doi.org/10.2139/ssrn.4304413
https://doi.org/10.2139/ssrn.4304413
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::589e59606cc962dc896ba1f6dd875e1e
https://doi.org/10.2139/ssrn.3113574
https://doi.org/10.2139/ssrn.3113574
Autor:
Anatoliy V. Swishchuk
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c5eb866bee30dcf849dfc162888764a1
https://doi.org/10.2139/ssrn.1445598
https://doi.org/10.2139/ssrn.1445598