Songklanakarin Journal of Science and Technology, Volume 43, Issue 2, Pages 465-470 , 01/01/2021

Analytical formulas for pricing discretely-sampled skewness and kurtosis swaps based on schwartz’s one-factor model

Kittisak Chumpong, Khamron Mekchay, Nopporn Thamrongrat

Abstract

In this paper, analytical formulas for pricing discretely-sampled skewness and kurtosis swaps based on the Schwartz’s one-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 formulas for the skewness and kurtosis swaps of commodity will be useful for hedging against price volatility risks in commodity markets.

Document Type

Article

Source Type

Journal

Keywords

Discrete samplingKurtosis swapsSchwartz’s modelSkewness swaps

ASJC Subject Area

Multidisciplinary : Multidisciplinary

Funding Agency

Chulalongkorn University

Access to Document

DOI : 10.14456/sjst-psu.2021.61
Link to scopus


10

Citations (Scopus)

Bibliography


Chumpong, K., Mekchay, K., & Thamrongrat, N. (2021). Analytical formulas for pricing discretely-sampled skewness and kurtosis swaps based on schwartz’s one-factor model. Songklanakarin Journal of Science and Technology, 43(2) 465-470. doi:10.14456/sjst-psu.2021.61

Copy | Save