Basket Options Pricing with Exponential Multivariate General Compound Hawkes

The authors consider basket options pricing for stocks modeled by exponential multivariate general compound Hawkes processes (EMGCHP). The functional central limit theorem (FCLT) is used to approximate EMGCHP by exponential multivariate diffusion process, namely, multivariate geometric Brownian motion. Numerical example is based on simulated data.