Work

Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks

Year: 2025

Type: article

Source: Journal of Futures Markets

DOI: 10.1002/fut.22603

Authors: Ke Wang, Xun‐xiang Guo, Yang‐yang Wang, Hong‐yu Zhang

Institutions: Civil Aviation Flight University of China, Southwestern University of Finance and Economics

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4411897688

FWCI: 1.948

Cites: 26

Cited by: 2

Related to: 10