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SSRN Id3485434 by Aaryan Trivedi is a document available to read on EtoBox.

What is SSRN Id3485434 about?

This paper evaluates the pricing accuracy and hedging performance of a stochastic volatility model with random jumps, particularly in markets with swap contracts linked to higher moments of the state variable. The findings indicate that incorporating higher-order moment swaps significantly enhances hedging strategies and pricing accuracy for European options and variance swaps on the S&P 500 index. Overall, the research demonstrates that effective hedging against both volatility and jump risks can be achiev

Author

Aaryan Trivedi

Language

EN