) continues to be prevalent makes MGRM?s strategy of hedging long-term supply commitments with short-dated futures contracts look …

option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive … closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to …

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional … measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed … obtain an explicit description of the optimal hedging strategy and an admissible, constrained variance-optimal signed …

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …

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

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …