This paper analyzes tractable robust hedging strategies in diffusion-type models including stochastic volatility models …. A robust hedging strategy avoids any losses as long as volatility stays within a given interval. It does not depend on … tractable hedging strategy is defined as the sum over Black-Scholes strategies. For a convex (concave) payoff, the cheapest …

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …

hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as … can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on preferences … explicitly taking into account optimal hedging strategies leads to positive market prices of risk for volatility even if the …