option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive … closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to …

option hedging errors. We derive a closed-form solution for the option hedging error and its expectation in a stochastic jump … expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive closed … form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to the …

assumed geometric Brownian motion. Indeed, the hedging error may diverge and delta hedging can actually increase the risk of …