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Analytical formulas for pricing discretely-sampled skewness andkurtosis swaps based on Schwartz's one-factor model |
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| รหัสดีโอไอ | |
| Creator | 1. Kittisak Chumpong 2. Khamron Mekchay 3. Nopporn Thamrongra |
| Title | Analytical formulas for pricing discretely-sampled skewness andkurtosis swaps based on Schwartz's one-factor model |
| Publisher | Research and Development Office, Prince of Songkla University |
| Publication Year | 2564 |
| Journal Title | Songklanakarin Journal of Science and Technology (SJST) |
| Journal Vol. | 43 |
| Journal No. | 2 |
| Page no. | 465-470 |
| Keyword | skewness swaps, kurtosis swaps, discrete sampling, Schwartz's model |
| URL Website | https://rdo.psu.ac.th/sjstweb/index.php |
| ISSN | 0125-3395 |
| Abstract | In this paper, analytical formulas for pricing discretely-sampled skewness and kurtosis swaps based on the Schwartz'sone-factor model is derived by applying the results of the conditional moments proposed by Chumpong, Mekchay, and Rujivan(2019). The results would be beneficial for market practitioners to describe commodity prices. The analytical pricing formulasfor the skewness and kurtosis swaps of commodity will be useful for hedging against price volatility risks in commodity markets. |
