Pricing variance swaps under the Hawkes jump‐diffusion process
Year: 2019
Type: article
Source: Journal of Futures Markets
DOI: 10.1002/fut.21997
Authors: Weiyi Liu, Song‐Ping Zhu
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: closed
Award: 基于高频极值数据的金融资产跳跃行为建模研究
OpenAlex ID: W2912795380