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 …

Complex insurance risks typically have multiple exposures. Options on multiple underliers with a short maturity are …

hedging strategies can effectively reduce drawdowns in the marked to market value of businesses trading options … of time. The underlying process has a single parameter, the constant variance rate of the process. Delta hedging using … hedging. The hedging strategies are implemented for stylized businesses represented by dynamic volatility indexes. The …

The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic … concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging … strategies termed dynamic conic hedging. The primary focus of these strategies is to adopt positions maximizing a nonlinear …

scaling to the option maturity. Static hedging of basket options to a particular level of acceptability is shown to …The concept of stress levels embedded in S&P 500 options are defined and illustrated with explicit constructions. The …

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 …

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 …