This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as thec realised volatility stays …

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … option hedging errors. We derive a closed-form solution for the option hedging error and its expectation in a stochastic jump … hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive closed form …