Greeks can be considered as the benchmark since no exact formula is available for the pricing and hedging of multi …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …

scaling to the option maturity. Static hedging of basket options to a particular level of acceptability is shown to …

different hedging strategies based on different diffusion models …

In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an … alternative instrument is used as a hedging instrument. We assume that the trade price of the hedging instrument is subject to … trading illiquid options, since the price shifts together with the liquidity costs affect the hedging performance. We set the …

rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire … spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2 …