In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential … to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis … shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …

-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We derived the …

Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …

In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an … alternative instrument is used as a hedging instrument. We assume that the trade price of the hedging instrument is subject to … trading illiquid options, since the price shifts together with the liquidity costs affect the hedging performance. We set the …

rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …

) method. Detailed here are (1) the option hedging strategy and its costs; (2) irreducible hedging errors associated with … realistically fat-tailed & asymmetric return distributions; (3) impact of transaction costs on hedging costs and hedge …-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto …