which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …