Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process
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DOI: 10.1007/s10614-017-9753-x
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… read more here.
Keywords: discrete realized; swaps discrete; realized higher; pricing swaps ... See more keywords