Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …

We investigate the optimal hedging strategy for a firm using options, where the role of production and basis risk are … portfolio is primarily affected by the amount of cash spent on the hedging. Also, we decompose the effect of production and … basis risk showing that the former affects hedging effectiveness while the latter drives the choice of the optimal contract …

effectiveness and the cost of the hedging strategy …

Local and global quadratic hedging are alternatives to delta hedging that more appropriately address the hedging …) the value added of global over local quadratic hedging, (ii) the importance of the choice of measure (real-world or risk …-neutral) when implementing quadratic hedging, and (iii) the robustness of quadratic hedging to model mis-specification. We find that …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

In this paper we investigate the optimal hedging strategy for a firm using option contracts, where both the role of … which minimizes the shortfall of the hedged portfolio is primarily affected by the amount of cash spent on the hedging … program. Also, we decompose the effect of quantity and proxy risk showing that the latter greatly affects hedging …

A closed-form solution is obtained for the discrete-time global quadratic hedging problem of Schweizer (1995) applied …

stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …