-instrument minimum-variance hedging strategies are derived analytically. Using S&P 500 options, we examine a set of alternative models … moneyness. But, for hedging, adding either jumps or stochastic interest rates does not seem to improve performance any further …

single-instrument minimum-variance hedging strategies are derived analytically. Using S&P 500 options, we examine a set of … does not "smile" across moneyness. But, for hedging, adding either jumps or stochastic interest rates does not seem to …

options, we find that when sampled intraday (or inter-day), (i) call (put) prices often go down (up) even as the underlying … consistent with observed option-price dynamics; options are not redundant securities, nor ideal hedging instruments---puts and …

framework only helps the pricing of extremely short-term options but not the hedging performance. Given that only options of … relatively short terms are used in existing studies, this paper addresses two related questions: Do long-term options contain … different information than short-term options? If so, can long-term options better differentiate among alternative models? Our …

function. This alternative valuation approach is applied to derive closed-form solutions for bonds, bond options, individual … stocks, and stock options under both power utility and exponential utility functions. Allowable processes for aggregate …

and foreign nominal interest rates, closed-form valuation formulas are presented for exchange rate options and exchange … rate futures options. Common to these formulas is that stochastic volatility and stochastic interest rates are admitted …

and foreign nominal interest rates, closed-form valuation formulas are presented for exchange rate options and exchange … rate futures options. Common to these formulas is that stochastic volatility and stochastic interest rates are admitted …

We derive semi-closed form solutions for the forward and futures exchange rates, European foreign currency options …, currency forward options, and currency futures options when the domestic and foreign interest rate movements follow mean … applied. The impact of interest rate uncertainty on theoretical prices of currency futures options is too significant to be …