Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps.

PLoS One · 2025 · PMC11936241 · PMID 40132031

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an increasing trendno p-value reported

The strike price of the variance swap exhibits an increasing trend with an increase in θ ~ and θ 0 , and the increase occurs at a relatively steady rate.

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