Moment swaps

DOI10.1080/14697680500401490zbMath1134.91461OpenAlexW4254279565MaRDI QIDQ3375396

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

Related Items (18)

HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET ⋮ Spectral methods for volatility derivatives ⋮ Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY ⋮ A moment-based analytic approximation of the risk-neutral density of American options ⋮ 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 ⋮ Moments of the asset price for the Barndorff-Nielsen and Shephard model ⋮ Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model ⋮ Unnamed Item ⋮ A Monte Carlo multi-asset option pricing approximation for general stochastic processes ⋮ A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility ⋮ HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS ⋮ Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case ⋮ New solvable stochastic volatility models for pricing volatility derivatives ⋮ THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS ⋮ PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS ⋮ Realized higher-order comoments

Cites Work

• The Pricing of Options and Corporate Liabilities
• Completion of a Lévy market by power-jump assets
• Chaotic and predictable representations for Lévy processes.
• A Theory of the Term Structure of Interest Rates
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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