We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no … et al. we can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on …

The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative … financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust …. This is true for all models that imply Black/Scholes--type formulas for option prices and hedging strategies. In this paper …

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …

decomposition to the problem of hedging European and American style contingent claims in a setting of incomplete security markets. …

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of … stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility …

additionalstandard options. …