Moment swaps

DOI10.1080/14697680500401490MaRDI QIDQ3375396zbMATHOpenAlexFDO

Authors Wim Schoutens

Publication date 8 March 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680500401490

zbMATH Keywords

hedgingstochastic volatility modelsmoment derivatives

Mathematics Subject Classification ID

Recommendations

• Simple analytical formulas for pricing and hedging moment swaps
• Pricing and hedging contingent claims using variance and higher order moment swaps
• Model-independent hedging strategies for variance swaps
• Hedging (co)variance risk with variance swaps
• Swap rate variance swaps

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Chaotic and predictable representations for Lévy processes.
• Completion of a Lévy market by power-jump assets
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• The pricing of options and corporate liabilities

Cited in

(18)

• Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
• Pricing and hedging contingent claims using variance and higher order moment swaps
• Simple analytical formulas for pricing and hedging moment swaps
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
• Spectral methods for volatility derivatives
• Moments of the asset price for the Barndorff-Nielsen and Shephard model
• New solvable stochastic volatility models for pricing volatility derivatives
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• A moment-based analytic approximation of the risk-neutral density of American options
• A Monte Carlo multi-asset option pricing approximation for general stochastic processes
• Realized higher-order comoments
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• Pricing options on variance in affine stochastic volatility models
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model

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