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

Jing Fu

doi:10.1371/journal.pone.0318886

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Open Access

Peer-reviewed

Research Article

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

Jing Fu

Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Investigation, Methodology, Project administration, Resources, Software, Supervision, Validation, Visualization, Writing – original draft, Writing – review & editing

* E-mail: 1200202z1009@smail.swufe.edu.cn

Affiliation School of Mathematics, Southwestern University of Finance and Economics, Chengdu, China

https://orcid.org/0009-0009-7840-2169

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

Jing Fu

Published: March 25, 2025
https://doi.org/10.1371/journal.pone.0318886

About the Authors

Jing Fu

Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Investigation, Methodology, Project administration, Resources, Software, Supervision, Validation, Visualization, Writing – original draft, Writing – review & editing

* E-mail: 1200202z1009@smail.swufe.edu.cn

Affiliation School of Mathematics, Southwestern University of Finance and Economics, Chengdu, China

https://orcid.org/0009-0009-7840-2169

Competing Interests

The authors have declared that no competing interests exist.

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