Pricing and hedging contingent claims using variance and higher order moment swaps
提出在随机波动率和资产价格随机跳跃下，通过引入基于高阶样本矩的互换来完美对冲或有索取权，实证表明使用方差和高阶矩互换显著优于传统Delta对冲，尤其对短期价外看跌期权效果更佳。
This paper suggests perfect hedging strategies of contingent claims under stochastic volatility and random jumps of the underlying asset price. This is done by enlarging the market with appropriate swaps whose pay-offs depend on higher order sample moments of the asset price process. Using European options and variance swaps, as well as barrier options written on the S&P 500 index, the paper provides clear cut evidence that hedging strategies employing variance and higher order moment swaps considerably improves upon the performance of traditional delta hedging strategies. Inclusion of the third-order moment swap improves upon the performance of variance swap-based strategies to hedge against random jumps. This result is more profound for short-term out-of-the money put options.