The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative … financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust …. This is true for all models that imply Black/Scholes--type formulas for option prices and hedging strategies. In this paper …

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 …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …

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 …

This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which … and the interest rate risk of the options positions. When the hedge is rolled forward with shorter maturity hedging … hedging instruments match the maturity of the option, forward contracts and futures contracts can hedge both the market risk …

This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models … incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma …, vega and interest rate hedge. Factor hedging is applied to the proposed multi-dimensional models and the corresponding …

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 …

shapes the models generate, and use spread options as an aggregate measure of the relative importance assigned to rising and …