This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive …

standard price hedge ratios for a wide class of contingent claims are model-free. Since options on traded assets are normally … has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal … for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging …

additionalstandard options. …

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …

on the performance of standard and minimum-variance hedging of vanilla options on the FTSE 100 index. Simple adjustments …-vega hedging and they are robust to varying the option maturities and moneyness, and to different market regimes. On the …

consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …