). The purpose is to by-pass the derivative of an (irregular) pay-off function in a jump-type market by introducing a weight … formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging …

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 …

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

We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and …

. 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 …

frequent convert between cryptocurrency and fiat currency. However, research on fair pricing and hedging for the inverse BTC … option still needs to be completed. In this paper, we conduct dynamic hedging of the inverse BTC options under the Black … under the SV model. Our results show that adding the SV feature does enhance performances on pricing and hedging inverse BTC …

We propose optimal mean-variance dynamic hedging strategies in discrete time under a multivariate Gaussian regime … provide univariate pricing results for monthly S&P 500 vanilla options. Then, we present the associated out-of-sample hedging … Sharpe ratio derived from the strategy doubles over the classical Black-Scholes delta-hedging methodology …