Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

In this paper we derive the locally risk-minimizing hedging for a general contingent claim in an incomplete market via … hedge obtained via PDE approach. We see these hedging strategies, under weak conditions, are the same as the ones generated … by the PDE approach. Within the same model we establish the pricing and the locally risk-minimizing hedging formulas for …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local …

. Moreover, we compute the model hedge ratios for put and call options and investigate the historical hedging performances of the … credit derivatives pricing, but have not been used for pricing/hedging options on equity indexes … options data on four US stock indexes; the Amex Biotechnology Index, the Morgan Stanley Technology index, the Securities …