producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints … increase hedging costs via price-pressure on futures. These in turn affect producers' equilibrium hedging and supply decision … 2010. The component of the commodity futures risk premium associated with producer hedging demand rises when speculative …

standard price hedge ratios for a wide class of contingent claims are model-free. Since options on traded assets are normally … has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal … for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging …

on the performance of standard and minimum-variance hedging of vanilla options on the FTSE 100 index. Simple adjustments …-vega hedging and they are robust to varying the option maturities and moneyness, and to different market regimes. On the …

consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …

-dependent options and options on assets with stochastic volatility and jumps. " …

-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully … to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods … the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures …

consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …

speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in … producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …