考虑流动性风险的Hawkes跳跃扩散过程下方差掉期定价分析

IF 2.3 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-07-01 DOI:10.1002/fut.22603

Ke Wang, Xun-xiang Guo, Yang-yang Wang, Hong-yu Zhang

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引用次数: 0

摘要

我们通过将自激Hawkes过程引入随机流动性风险模型来研究方差掉期定价。在此框架内，我们使用两种不同的方法推导了离散抽样方差互换的封闭形式定价公式。通过渐近分析，证明了离散抽样定价公式在抽样区间趋近于零时收敛于连续抽样定价公式。数值结果进一步突出了跳跃聚类对方差掉期执行价格的显著影响。

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

We investigate variance swap pricing by incorporating a self-exciting Hawkes process into a stochastic liquidity risk model. Within this framework, we derive closed-form pricing formulas for discretely sampled variance swaps using two different methods. Through asymptotic analysis, we demonstrate that the discretely sampled pricing formulas converge to their continuously sampled counterparts as the sampling interval approaches zero. Numerical results further highlight the significant impact of jump clustering on the strike prices of variance swaps.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.