procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists … of dynamically trading the underlying risky asset and a static position of vanilla options which can be exercised at the …