results show, however, that our results can be explained by the hedging costs of market makers who are net long in options on …

and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic …

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 …

This paper applies to the static hedge of barrier options a technique, mean-square hedging, designed to minimize the … size of the hedging error when perfect replication is not possible. It introduces an extension of this technique which … preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any …

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 …

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