start from two simple, economically motivated axioms, namely absence of arbitrage (in the sense of NUPBR) and absence of … relative arbitrage among all buy-and-hold strategies (called static efficiency). A valuation process for a payoff is then … valuing by absence of arbitrage alone. We show that this always yields put-call parity, although put and call values …

transient nature of impact through a resilience function. For covered options, the pricing pde involves gamma constraints but is …

We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy … transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility … in hedging costs even within short intraday time windows around the decisions, amounting approximately to the annual …

We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy … transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility … in hedging costs even within short intraday time windows around the decisions, amounting approximately to the annual …

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 …

Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a …. The main theorem is duality between hedging and a Monge-Kantorovich type optimization problem. In this dual transport …

This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which … hedging instruments match the maturity of the option, forward contracts and futures contracts can hedge both the market risk … and the interest rate risk of the options positions. When the hedge is rolled forward with shorter maturity hedging …

This paper reconsiders the predictions of the standard option pricing models in the context of incomplete markets. We …

the geometric average option as suitable control variate for pricing the corresponding arithmetic average Asian option via …