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 …

). 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 …

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 …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over …