models can be used to find optimal hedging strategies using exchange-traded wind power futures for the owner of a portfolio … of so-called tailor-made wind power futures. Both in-sample and out-of-sample hedging scenarios are considered, and, in …

usually proposed in the literature. We show the solution minimizes the mean-variance hedging error under the objective measure …. Solutions for the option value and the optimal hedging strategy are easily obtained from Monte Carlo simulations. Two …

In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate … daily returns. Secondly, we present out-of-sample hedging results on S&P 500 vanilla options as well as a trading strategy … based on theoretical prices, which we compare to simpler models including the classical Black-Scholes delta-hedging approach …

We examine optimal quadratic hedging of barrier options in a discretely sampled exponential Lévy model that has been … realistically calibrated to reflect the leptokurtic nature of equity returns. Our main finding is that the impact of hedging errors …

This paper investigates the use of the asymptotic Heston solution in locally risk minimizing hedging. The asymptotic …