In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility …

volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high … frequency intra day commodity futures returns and finds very similar long memory in volatility features at this higher frequency …

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U ….S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic …

of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The …