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 …

start by briefly recalling the standard theory for pricing and hedging derivatives in complete frictionless markets and the …

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

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

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 …

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 …

In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy … to hedge their risks completely. In contrast to the usual mean-variance criterion, our hedging strategies try to minimize … money by hedging only part of the claim, while taking a certain (minimal) risk that the hedge does not cover the claim …

The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath …