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 …

more robust, gives tradable parameters instantaneously and gives also instantaneously robust hedging parameters …

overlooked when one departs from the application domain of security pricing: the no-arbitrage condition. We formulate a moment … matching model to generate multi-factor scenario trees satisfying no-arbitrage restrictions with a minimal number of scenarios …

probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer … stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition …

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

-root process is applied to model the rate at which capital is drawn over time. Applying equilibrium intertemporal asset pricing …

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity …

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives …

further derive pricing formulas for electricity forwards under future information and investigate the associated information …

) calibration, (2) out-of-sample pricing and (3) hedging residual risk. Results show that joint pure jump dynamics for log … robust calibration, repricing and hedging performance. The novelty of the approach stems from the generality of the jump …