The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …

. Moreover, we compute the model hedge ratios for put and call options and investigate the historical hedging performances of the … credit derivatives pricing, but have not been used for pricing/hedging options on equity indexes … options data on four US stock indexes; the Amex Biotechnology Index, the Morgan Stanley Technology index, the Securities …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … derive formulas for the hedging strategy and the hedging error …

taking into account the relevance of pricing and hedging strategies for financial institutions …

for the price of the option and find that, contrary to Black-Scholes (1973) options theory, increasing the volatility of …

explicit optimal portfolios or hedging strategies under realistic assumptions …

hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …