they allow for models which exhibit jumps in the return process as well as in the volatility component. For both hedging … several meaningful choices for the determination of such a hedging strategy. We discuss two of them based on optimization … criteria: asymptotic exponential utility-based hedging and variance-optimal hedging. We investigate these approaches under the …

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 …

debt crisis and the current COVID-19 pandemic when spillovers were generated across financial markets and sectors. …

current COVID-19 pandemic when spillovers were generated across financial markets and sectors. …

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 …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …