This paper discusses risk-minimizing hedging strategies under affine GARCH models driven by Gaussian innovations. First … first-order Taylor expansion, we relate our hedging strategy to delta hedging and specify an approximation of our formula in … performance of our hedging schemes relative to benchmark delta hedges used in the literature …

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options …. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …