Abstract
This paper designs and prices the swaps on discrete realized higher moments under the Lévy process in order to hedge the higher-moment risks, e.g., skewness and kurtosis risks. A comparison with Monte-Carlo simulations provides a verification of the correctness of our pricing formula. This paper is a further extension of Zhu and Lian’s (Math Finance 21:233–256, 2011; Appl Math Comput 219:1654–1669, 2012), which are under the Heston model and only price the variance swaps.
Original language | English |
---|---|
Pages (from-to) | 507-532 |
Number of pages | 26 |
Journal | Computational Economics |
Volume | 53 |
Issue number | 2 |
DOIs | |
Publication status | Published - 15 Feb 2019 |
Externally published | Yes |
Keywords
- Kurtosis swaps
- Lévy process
- Skewness swaps
- Stochastic volatility
Fingerprint
Dive into the research topics of 'Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process'. Together they form a unique fingerprint.Cite this
Zhu, W., & Ruan, X. (2019). Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process. Computational Economics, 53(2), 507-532. https://doi.org/10.1007/s10614-017-9753-x