articleInternational Review of Financial AnalysisJan 20, 2026Closed access

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

PPPuneet PasrichaXHXin‐Jiang He
Indexed incrossref

Abstract

No abstract available for this paper.

Citation impact

5
total citations
FWCI
137.96
Percentile
100%
References
31
Too recent for citation history.

Authors

2

Topics & keywords

Topics
Keywords
  • Stochastic volatility
  • Volatility (finance)
  • Implied volatility
  • Stochastic modelling
  • Volatility smile
No related works found for this paper.

Funding