formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging …

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 …

minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi …-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test … measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile …

-of-the-money) options while the Heston model seems to perform better for medium or long term options. In terms of hedging performance, the … Scholes model in terms of hedging errors, mainly for option contracts that mature in-the-money …

explicit optimal portfolios or hedging strategies under realistic assumptions …