We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … additionally performed for some popular suboptimal hedging strategies, with the same conclusion …

The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain a risk …-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … derive formulas for the hedging strategy and the hedging error …

presence of a random endowment, we obtain asymptotic formulas for utility indi erence prices and hedging strategies in the …