Complex positions on multiple underliers are hedged using the options surface of all underliers. Hedging objectives …

hedging strategies can effectively reduce drawdowns in the marked to market value of businesses trading options … 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 …

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

The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to … hedge the risk using positions in the market for options on a related asset and the option is then priced at the cost of … this hedge. The theory is applied to pricing VIX options using the market for SPY options and pricing options on JPM using …

numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book …-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and …