Analytically pricing variance swaps under a Hawkes jump-diffusion model with a dynamic long-run mean of variance

Journal of Computational and Applied Mathematics 2026

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Authors: Xin‐Jiang He, Lingyi Cheng, Sha Lin

DOI: 10.1016/j.cam.2026.117770

Cited by: 5

References: 44

Fields of Study & Subjects

Stochastic processes and financial applications Point processes and geometric inequalities Diffusion and Search Dynamics

References 44