ITEM METADATA RECORD
Title: Moment Swaps
Authors: Schoutens, Wim
Issue Date: 2005
Publisher: K.U.Leuven U.C.S. Report
Abstract: In this paper we introduce moment swaps. These derivatives depend on the realized higher moments of the underlying. A special case is the nowadays popular Variance Swaps. After introducing moment swaps we discuss how to hedge these derivatives. Moreover, we show how the classical hedge of the Variance Swap in terms of a position in log-contracts and a dynamic trading strategy can be significantly enhanced by using third moment swaps.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Statistics Section

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