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

Xin-Jiang He, Lingyi Cheng, Sha Lin. Analytically pricing variance swaps under a Hawkes jump-diffusion model with a dynamic long-run mean of variance. J. Computational Applied Mathematics, 487:117770, 2026. [doi]

Abstract

Abstract is missing.