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A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps.

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Title: A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps.
Authors: He, Xin‐Jiang1,2 (AUTHOR), Yan, Dong3 (AUTHOR), Lin, Sha4,5 (AUTHOR) linsha@mail.zjgsu.edu.cn
Source: Journal of Futures Markets. Jun2026, p1. 15p. 10 Illustrations.
Database: Business Source Ultimate
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Header DbId: bsu
DbLabel: Business Source Ultimate
An: 194445850
AccessLevel: 2
PubType: Academic Journal
PubTypeId: academicJournal
PreciseRelevancyScore: 0
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  Label: Title
  Group: Ti
  Data: A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps.
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  Data: <searchLink fieldCode="AR" term="%22He%2C+Xin‐Jiang%22">He, Xin‐Jiang</searchLink><relatesTo>1,2</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Yan%2C+Dong%22">Yan, Dong</searchLink><relatesTo>3</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Lin%2C+Sha%22">Lin, Sha</searchLink><relatesTo>4,5</relatesTo> (AUTHOR)<i> linsha@mail.zjgsu.edu.cn</i>
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  Data: <searchLink fieldCode="JN" term="%22Journal+of+Futures+Markets%22">Journal of Futures Markets</searchLink>. Jun2026, p1. 15p. 10 Illustrations.
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=bsu&AN=194445850
RecordInfo BibRecord:
  BibEntity:
    Identifiers:
      – Type: doi
        Value: 10.1002/fut.70120
    Languages:
      – Code: eng
        Text: English
    PhysicalDescription:
      Pagination:
        PageCount: 15
        StartPage: 1
    Titles:
      – TitleFull: A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps.
        Type: main
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      – PersonEntity:
          Name:
            NameFull: He, Xin‐Jiang
      – PersonEntity:
          Name:
            NameFull: Yan, Dong
      – PersonEntity:
          Name:
            NameFull: Lin, Sha
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      – BibEntity:
          Dates:
            – D: 10
              M: 06
              Text: Jun2026
              Type: published
              Y: 2026
          Identifiers:
            – Type: issn-print
              Value: 02707314
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            – TitleFull: Journal of Futures Markets
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