Title: Moment swaps
Authors: Schoutens, Wim # ×
Issue Date: 2005
Publisher: Routledge journals, taylor & francis ltd
Series Title: Quantitative finance vol:5 issue:6 pages:525-530
Abstract: In this paper we discuss 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.
ISSN: 1469-7688
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
× corresponding author
# (joint) last author

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