Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process

Wenli Zhu, Xinfeng Ruan*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


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 languageEnglish
Pages (from-to)507-532
Number of pages26
JournalComputational Economics
Issue number2
Publication statusPublished - 15 Feb 2019
Externally publishedYes


  • Kurtosis swaps
  • Lévy process
  • Skewness swaps
  • Stochastic volatility


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