resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …

robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate … the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging …

hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed … selecting the model, from a set of candidate models, that optimises the hedging of a specified financial contract. In particular … we choose the model whose corresponding price and hedge optimises some hedging performance indicator. The selection …

, can gain little. Third, hedging exchange risk generally allows the U.S., but not Japanese, investors to benefit more from … international diversification. For U.S. investors, the international bond diversification with exchange risk hedging offers a … superior risk-return trade-off than the international stock diversification, with or without hedging. …

to past experience. This may assist with making decisions about selective hedging. Likewise, historical evidence may be … useful in evaluating expected returns from the use of put options. Results from simple hedging strategies using either …