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Abstract We consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows… Click to show full abstract
Abstract We consider the asset price as the weak solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale whose predictable compensator follows shot-noise and Hawkes processes. In this framework, we discuss the Esscher martingale measure where the conditions for its existence are detailed. This generalizes certain relationships not yet encountered in the literature.
Keywords:
transforms hawkes;
cumulant transforms;
hawkes processes
Journal Title: Journal of Applied Probability
Year Published: 2023
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Journal Title: Journal of Applied Probability
Year Published: 2023
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!