In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … principle. Our explicit results are particularly useful for electricity retailers, who have sold an option to a client, and now … want to hedge the payoff of this option by investing into an electricity futures and into the issued option itself. Another …

The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from … option on an art index, derived from one of the most comprehensive data sets of art market transactions. The option allows … attractiveness of gaining exposure to a previously non-traded risk. This setting further overcomes the problem of art market …