The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where …–covariance structures to obtain hedging ratios. Performance of models is compared in terms of variance reduction and expected utility levels … new capital control measures in Malaysia. Findings show that rankings of the hedging models change for the in …

difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. …We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working …

European, American or Barrier option in a stochastic volatility environment. We begin by presenting some applicable concepts in … constant volatility. We next present the replicating portfolio and equivalent martingale measure approaches to the pricing of a … European style option. Modeling an asset price utilizing constant volatility has been shown to be an inefficient model[8 …

. This results in considerable price risk for retailers, who are sometimes forbidden by regulators from signing hedging … and price volatility. Indeed, economic theory suggests that even modestly price-responsive demand can remove the stress on …

many other problemsassociated with electricity markets, such as exercise of market power andprice volatility. Indeed …

peaking is approached, liquid fuel prices and price volatility will increase dramatically, and, without timely mitigation, the …

increasing in the volatility of demand they face, decreasing in the air premium they must pay, and increasing in the … firms with a real option to smooth demand volatility on international markets, and we provide simple calculations of that …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …