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Found 6 papers, 0 papers with code
Option pricing under the normal SABR model with Gaussian quadratures
The stochastic-alpha-beta-rho (SABR) model has been widely adopted in options trading.
Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data
This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process.
Analytic formula for option margin with liquidity costs under dynamic delta hedging
This study derives the expected liquidity cost when performing the delta hedging process of a European option.
Performance of tail hedged portfolio with third moment variation swap
The probability density function of the hedged portfolio with the third moment variation swap was examined using a partial differential equation approach.
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
An estimation of the diffusion model is performed using the simulated maximum likelihood method and shows similar patterns to the Hawkes model.
Marked Hawkes process modeling of price dynamics and volatility estimation
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering.
