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Found 2 papers, 1 papers with code
Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book.
Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model.
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