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 …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … for prices and hedging strategies in terms of the security's cash gamma …

This paper proposes a simple scheme for static hedging of defaultable contingent claims. It is a kind of generalization … unified credit-equity modelings. Our scheme provides a hedging strategy across credit and equity markets, where any …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local …

generalized static replication approach for hedging the in-arrears clean index principal swaps and annuity options …

) method. Detailed here are (1) the option hedging strategy and its costs; (2) irreducible hedging errors associated with … realistically fat-tailed & asymmetric return distributions; (3) impact of transaction costs on hedging costs and hedge …-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto …