Under Heston and jump-diffusion stochastic volatility, a portfolio hedged with a third moment variation swap shows reduced skewness and kurtosis, computed via an ADI finite difference scheme.
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Performance of tail hedged portfolio with third moment variation swap
Under Heston and jump-diffusion stochastic volatility, a portfolio hedged with a third moment variation swap shows reduced skewness and kurtosis, computed via an ADI finite difference scheme.