Simple analytical formulas for pricing and hedging moment swaps

MaRDI QIDQ5040907FDOQ5040907

Authors: Kittisak Chumpong, Khamron Mekchay, Sanae Rujivan, N. Thamrongrat 

Publication date: 18 October 2022

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/4006

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zbMATH Keywords

Black-Scholes modeldiscrete samplingtime-dependent parametersmoment swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• On the valuation of variance swaps with stochastic volatility
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Title not available (Why is that?)
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• Closed form pricing formulas for discretely sampled generalized variance swaps
• Moment swaps
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
• A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
• Pricing and hedging contingent claims using variance and higher order moment swaps
• A closed-form formula for the conditional moments of the extended CIR process

Cited In (1)

• Moment swaps

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