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 …

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 …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …

This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose …

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform … supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of … market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … derive formulas for the hedging strategy and the hedging error …

standard hedging based option pricing theory. Common alternatives are utility indifference pricing, suggested by various …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …