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

@article{puneet2026,
  title        = {{Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility}},
  author       = {Puneet Pasricha & Xin‐Jiang He},
  journal      = {International Review of Financial Analysis},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.irfa.2026.105095},
}

TY  - JOUR
TI  - Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility
AU  - Pasricha, Puneet
AU  - He, Xin‐Jiang
JO  - International Review of Financial Analysis
PY  - 2026
ER  -

Puneet Pasricha & Xin‐Jiang He (2026). Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility. *International Review of Financial Analysis*. https://doi.org/https://doi.org/10.1016/j.irfa.2026.105095

Puneet Pasricha & Xin‐Jiang He. "Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility." *International Review of Financial Analysis* (2026). https://doi.org/https://doi.org/10.1016/j.irfa.2026.105095.

Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility
Puneet Pasricha & Xin‐Jiang He · International Review of Financial Analysis · 2026
https://doi.org/https://doi.org/10.1016/j.irfa.2026.105095