-balancing frequencies on target volatility portfolios. We focus on the pricing and hedging of the European option linked to target … volatility portfolios. In particular, we investigate the impact of stochastic equity asset volatility on the pricing and hedging … of the European option linked to target volatility portfolios. We also consider different dynamic hedging strategies and …

With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random … different hedging strategies based on different diffusion models …