hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices …

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 …

variance contract under different scenarios, namely underpure estimation risk (or parameter risk) in a stochastic volatility … volatility instead of jumps or vice versa), and under modelrisk when risk factors are omitted (e.g. when the true model contains …

non-traded risk factors. Our main findings for a stochastic volatilitymodel with unbounded volatility show that there is …