shortfall. The pricing of 7 variations of funded as well as unfunded notes is overviewed. We further investigate the effect of …

of vanilla option values under advanced models, the pricing of American options and the pricing of exotic options under …

scaling to the option maturity. Static hedging of basket options to a particular level of acceptability is shown to …

The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic … concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging … strategies termed dynamic conic hedging. The primary focus of these strategies is to adopt positions maximizing a nonlinear …

of time. The underlying process has a single parameter, the constant variance rate of the process. Delta hedging using … hedging. The hedging strategies are implemented for stylized businesses represented by dynamic volatility indexes. The … unity and the square. Numerous hedging strategies may be run using different powers and biases in the probability of an up …