Computational Economics

, Volume 53, Issue 2, pp 507–532 | Cite as

Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process

  • Wenli Zhu
  • Xinfeng RuanEmail author


This paper designs and prices the swaps on discrete realized higher moments under the Lévy 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.


Lévy process Stochastic volatility Skewness swaps Kurtosis swaps 

JEL Classification

G12 G13 


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Copyright information

© Springer Science+Business Media, LLC 2017

Authors and Affiliations

  1. 1.School of Economic MathematicsSouthwestern University of Finance and EconomicsChengduPeople’s Republic of China
  2. 2.Department of Accountancy and Finance, Otago Business SchoolUniversity of OtagoDunedinNew Zealand

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