Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a … robust calibration, repricing and hedging performance. The novelty of the approach stems from the generality of the jump …) calibration, (2) out-of-sample pricing and (3) hedging residual risk. Results show that joint pure jump dynamics for log …