Analytically pricing variance swaps under the Hawkes jump-diffusion process with liquidity risks
Ke Wang, Xun-xiang Guo, Yang-yang Wang, Hong-yu Zhang
| Year of publication: |
2025
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| Authors: | Wang, Ke ; Guo, Xun-xiang ; Wang, Yang-yang ; Zhang, Hong-yu |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 9, p. 1388-1408
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| Subject: | Hawkes process | jump clustering | stochastic liquidity | variance swaps | Stochastischer Prozess | Stochastic process | Swap | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Liquidität | Liquidity | Varianzanalyse | Analysis of variance | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22603 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464894