Abstract
This paper designs and prices the swaps on discrete realized higher moments under the Levy process in order to hedge the higher-moment risks, e.g., skewness and kurtosis risks. A comparison with Monte-Carlo simulations provides a verification of the correctness of our pricing formula. This paper is a further extension of Zhu and Lian’s (Math Finance 21:233–256, 2011; Appl Math Comput 219:1654–1669, 2012), which are under the Heston model and only price the variance swaps.
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