comparison shows that the cost of hedging and the replication risk premium have contributions to the implied volatility smile …

In this short notice, we present structure of the perfect hedging. Closed form formulas clarify the fact that Black …

In contrast to conventional model-based derivative pricing, a recent stream of research aims to investigate what prices …

yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …) timely hedging strategy removes the extreme negative tail risk and reduces the negative skewness in exchange for slightly …

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential … to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis … shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We …

We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading … to this combined continuous-discrete quadratic hedging problem if the future price process is a special semimartingale …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …