In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options …. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …

The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of … capture changes in the hedging effectiveness of the contracts. We find that the diagonal VECH and constant models produce … almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures …

, Dow-Jones, Nikkei, S&P 500, Brent, and WTI futures can be effective hedging instruments. We use a wavelet-based dynamic … hedging model to account for heterogeneous investors in the Bitcoin market. For a short-term horizon, soybean futures reduce … are the best for in-sample hedging in a long-term horizon, whereas live cattle futures have the best out …

Using the GARCH model and quantile regression with dummy variables, we investigate the hedging and safe haven …

post-COVID period. Hedging effectiveness demonstrates that the dynamic portfolio weights strategy is better than hedge … ratios when hedging against the JSE index. Based on the findings in this study, the economy of South Africa could possibly …